- mpsur.csv is a collection of as many monetary policy surprise measures as I can get my hands on
- tv.ipynb aggregates US daily trading volume data
- mpreg.do creates predicted values and residuals for trading volume on FOMC days
- umich.csv shows the percent adjustment to the inflation rate based on the month over month percent change in annualized inflation expectations. When applied to a usuaul inflation rate (I use CPI) this creates a proxy for inflation expectatations.
- this adjustment is because this survey has high central tendencies, in part due to survey respondants only reporting integer expectations
- Many studies use the survey of professional forecasters, but for settings in which we are trying to understand movements along a consumer dimension, this seems more appropriate
- The Fed's survey of consumer expectations has a better design but unfortunately did not begin until last decade (central tendencies are still too high anyway).
- Using PCE does not match traditional estimates of real rates well
- irates.csv shows various interest rates on, including real rates using the above method