仍在收拾残局：新的跨国高频数据集中的货币政策传导（英）

StillPacking aPunch:Monetary PolicyTransmissionin aNewCross-CountryHigh-Frequency Dataset Ece Ozge Emeksiz, Gunes Kamber, Julia Otten,andGurnain K.Pasricha WP/26/18 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. IMF Working Paper Monetary and Capital Markets Department StillPacking aPunch: Monetary Policy Transmission in a New Cross-Country High-Frequency Dataset *Prepared by Ece Ozge Emeksize, Gunes Kamber, Julia Otten, Gurnain K. Pasricha Authorized for distribution by David HofmanJanuary2026 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:This paper assesses the transmission of monetary policy using a new state-of-the-art intra-daydataset of monetary policy shocks for 16 advanced economies and emerging markets, the mostcomprehensive cross-country coverage to date. Using 30-minute windows around policy announcements, weconstruct target and path factor shocks for a broad sample of countries and assess their transmission togovernment bond yields, stock prices, and exchange rates. High-frequency identification improves thesignificance of estimated responses relative to lower-frequency intraday or daily data. Both target and pathsurprises generate large and consistent effects across asset classes. We find limited evidence of central bankinformation effects, confirming the validity of high-frequency methods. Post-COVID-19, transmission to yieldsand equity prices remains stable, but exchange rate responses weaken—likely due to synchronized monetarytightening across countries. The findings underscore the value of high-frequency data for robust identificationand cross-country analysis of monetary policy transmission. RECOMMENDED CITATION:Emeksiz and others (2026), "Still packing a punch: Monetary PolicyTransmission in a New Cross-Country High-Frequency Dataset", IMF Working Paper 26/18, Washington, DC. StillPacking aPunch: MonetaryPolicyTransmissionin aNewCross-Country High-FrequencyDataset Prepared byEce Ozge Emeksiz, Gunes Kamber, Julia Otten,andGurnainK. Pasricha Contents I.Related Literature.......................................................................................................................................10 II.Monetary Policy Shocks: Underlying Data and Methodology.........................................................12 A.Monetary Policy Announcements.....................................................................................................12B.Underlying Financial Market Data.....................................................................................................13C.Identification of Monetary Policy Surprises.......................................................................................14D.Monetary Policy Shocks: Some Stylized Facts.................................................................................18 III.Monetary Policy Transmission...........................................................................................................20 A.Baseline Results...............................................................................................................................20B.Assessing information effects...........................................................................................................23C.Contribution of High Frequency Data................................................................................................25D.Did Monetary Policy Transmission Change Post-COVID-19?..........................................................29 IV.Conclusions.........................................................................................................................................31 References.........................................................................................................................................................40 FIGURES Figure 1.Monetary Policy Announcements: the Event Window.........................................................................14Figure 2. Comparison of the Monetary Policy Shock Series with Literature.......................................................16Figure 3. Average Volatility of Underlying Data Series in the Event vs Non-Event Windows.............................17Figure 4. Average volatility of response series in the event vs. non-event windows..........................................18Figure 5. Monetary Policy Surprises Over Time.................................................................................................19Figure 6. Distribut