Measuring Monetary Policy Shocks in Emerging Economies: Evidence from India
为新兴经济体构建货币政策冲击提供了一个模板，结合金融数据和央行沟通的叙事分析，创建了印度储备银行的政策日期和冲击数据库，并发现金融市场从央行沟通中推断未来利率路径，债券和股票市场对冲击反应强烈但存在行长制度异质性。
Abstract In this paper, we provide a template for constructing monetary policy shocks for emerging economies. Our approach synthesizes financial data with a narrative analysis of central bank communication and related media coverage. We create a publicly available time‐series database of policy dates and shocks for the Reserve Bank of India (RBI). Our shocks suggest that financial markets infer information about the future path of policy rate from RBI communication. Bond and stock markets react strongly to these monetary shocks but exhibit heterogeneity across governor regimes. Finally, we use the shocks as external instruments to identify the impact on macro‐economic variables.