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MP Surprise

  • 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

Real Rates

  • 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