Database for event studies of Swedish monetary policy

Monetary policy surprises are measures of changes in interest rates and other financial prices in short time windows, in connection with a central bank releasing monetary policy announcements and other relevant communication. In the database for event studies of Swedish monetary policy, high frequency changes in seven different interest rates, two exchange rates and a stock market index are measured at occasions when the Riksbank has communicated about monetary policy. The database currently covers 269 occasions when the Riksbank released monetary policy announcements and minutes from monetary policy meetings, starting on 20 August 2004. The changes are calculated as the difference between the median price 20 minutes after the time of the monetary policy communication and the median price 10 minutes before the same time. For more details on how the surprises have been calculated, see the working paper below.

The database

The database contains calculated surprises for the following variables:

• 1 month SEK Overnight Index Swap (OIS)
• 3 month SEK OIS
• 6 month SEK OIS
• 1 year SEK Swap
• 2 year SEK Swap
• 5 year SEK Swap
• 10 year SEK Swap
• SEK/USD exchange rate
• SEK/EUR exchange rate
• Nasdaq OMX Stockholm All-Share index

The database is updated with new data at the end of each year.

About monetary policy surprises and what they can be used for

Monetary policy surprises occur when the market's expectations about the central bank's announcements deviate from the actual announcements, both immediately before and after events such as monetary policy decisions. These surprises can arise for various reasons, often because market participants do not fully know how the central bank will react to changes in economic developments.

Surprises, measured as changes in interest rates and other market prices, are typically calculated over short time windows. This increases the likelihood that the observed surprises are indeed a result of the central bank's announcements. Examples of other events that can influence Swedish interest rates and other market prices include new information about macroeconomic developments in Sweden or abroad, as well as monetary policy communication from other central banks.

Data on monetary policy surprises have a range of applications. Most notably, they are used to study how monetary policy affects different variables. To draw conclusions about these effects, a measure of exogenous changes in monetary policy is necessary. In economics research, monetary policy surprises act as proxy variables for these types of changes.