Research Discussion Paper – RDP 2021-04 Monetary Policy, Equity Markets and the Information Effect

This ‘read me’ file details the structure of the replication files for RDP 2021-04.

The files are set up using an R Project. Please double click the .Rproj file before running any of the code.

The main replication files are as follows:

1. analysis/main.Rmd: This replicates all the figures in the main text of the RDP. Hit Ctrl+Shift+K to knit the document. This should produce analysis/main.html.
2. analysis/monetary-policy-surprises.Rmd: This files uses synthetic data to show the user how the monetary policy surprise measure was calculated. Hit Ctrl+Shift+K to knit the document. This should produce analysis/monetary-policy-surprises.html.

Folder structure

A note on data

Due to contract restrictions I am unable to publish some of the raw data used in the analysis. This includes the high-frequency OIS and equity price data, and the weekly forecasted earnings growth. Instead, these files only contain transformed data (where the reconstruction of original raw data is impossible). These files include:

• ./data/equities/asx-shock.csv and ./data/equities/asx-shock-all.csv: only show changes in the ASX 200 index around monetary policy event times. The raw data are from Refinitiv and are unavailable due to third-party provider restrictions.
• ./data/earnings/earnings-shock.csv and ./data/earnings/earnings-shock-all.csv: only show the one-week change in forecasted earnings around monetary policy event times. The raw data are sourced from Datastream by Thomson Reuters/Refinitiv but are unavailable due to third-party provider restrictions.
• ./data/mp-surprises.csv and ./data/mp-surprises-all.csv: only show the cash rate change and monetary policy surprise measure. The cash rate changes are available from the RBA web site, while the monetary policy surprises are constructed with data from Refinitiv and are unavailable due to third-party provider restrictions.

Also note that the data in ./data/fake-data/ois-all.csv are synthetic (and are just random numbers). They are used to help users understand the process of creating the monetary policy surprises as done in ./analysis/monetary-policy-surprises.Rmd.

Contact information

These files were compiled by Calvin He.

22 April 2021

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