Monetary Policy Shock Data Replication

Here I replicated two Monetary Shock/Surprise paper and enlarged their data to the end of 2023.

• Kenneth N Kuttner.2001.“Monetary policy surprises and interest rates: Evidence from the Fed funds futures market”.Journal of Monetary Economics,47(3):523-544.https://doi.org/https://doi.org/10.1016/S0304-3932(01)00055-1
  • The data from author’s website ends at 2019, I enlarged them to the end of year 2023. Due to the data limitation, there are several dates with some small error, but for the most of them, the results are accurate.
  • The link to the replicated data (2012 to 2023): https://drive.google.com/file/d/10sQQwf8g5EtOwO6MrfoQckzJD2wcpCGU/view?usp=drive_link