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mpshock  

Monetary Policy Shock Series for Empirical Macroeconomics
View on CRAN: Click here


Download and install mpshock package within the R console
Install from CRAN:
install.packages("mpshock")

Install from Github:
library("remotes")
install_github("cran/mpshock")

Install by package version:
library("remotes")
install_version("mpshock", "0.1.0")



Attach the package and use:
library("mpshock")
Maintained by
Charles Coverdale
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-04-21
Latest Update: 2026-04-21
Description:
Provides a curated multi-country collection of monetary policy shock and stance series from the empirical macroeconomics literature, bundled as tidy data frames with provenance metadata. Version 0.1.0 includes thirteen series covering the United States, United Kingdom, and Australia: for the US, the policy news shock of Nakamura and Steinsson (2018) <doi:10.1093/qje/qjy004>, the orthogonalised surprise of Bauer and Swanson (2023) <doi:10.1257/aer.20201220>, the target and path factors of the Swanson (2021) <doi:10.1016/j.jmoneco.2020.09.003> extension of Gurkaynak, Sack, and Swanson (2005), the pure monetary policy and central bank information shocks of Jarocinski and Karadi (2020) <doi:10.1257/mac.20180090>, the informationally-robust shock of Miranda-Agrippino and Ricco (2021) <doi:10.1257/mac.20180124>, and the shadow federal funds rate of Wu and Xia (2016) <doi:10.1111/jmcb.12300>; for the UK, the UK Monetary Policy Event-Study Database of Braun, Miranda-Agrippino, and Saha (2025) <doi:10.1016/j.jmoneco.2024.103645>, the high-frequency surprise of Cesa-Bianchi, Thwaites, and Vicondoa (2020) <doi:10.1016/j.euroecorev.2020.103375>, and the narrative shock of Cloyne and Hurtgen (2016) <doi:10.1257/mac.20150093>; for Australia, the three-component RBA surprise of Hambur and Haque (2023) <doi:10.1111/1475-4932.12786> and the credit-spread-augmented RBA narrative shock of Beckers (2020). Helpers support date alignment, frequency conversion, and shock cumulation. All data is bundled; no runtime network access is required.
How to cite:
Charles Coverdale (2026). mpshock: Monetary Policy Shock Series for Empirical Macroeconomics. R package version 0.1.0, https://cran.r-project.org/web/packages/mpshock. Accessed 04 Jul. 2026.
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