Measuring Monetary Policy Uncertainty: The Federal Reserve, January 1985-January 2016, Accessible Data
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Figure 1: Monetary Policy Uncertainty Index
This figure displays the baseline MPU index from January 1985--December 2015. The index spikes around the time of Black Monday, the September 11 attacks, the March 2003 invasion of Iraq, the lead-up to the global financial crisis and announcements of QE I and II, the Taper Tantrum, and prior to the October 2015 FOMC meeting.
Figure 2: MPU Index, proximity search
This figure shows that the index resulting from a 10 word proximity refinement exhibits many similarities to our baseline index.
Figure 3: MPU vs. Dealers' Survey (FFR)
This figure shows that our MPU index tracks the survey-based uncertainty measure closely prior to 2008 when the effective zero bound was reached.
Figure 4: MPU vs. Dealers' Survey (liftoff)
This figure shows that our MPU index moves quite closely with Primary Dealers’ liftoff uncertainty during 2015.
Figure 5: MPU index vs. Market-based Measure (1 year)
This figure compares our MPU the market-based indicators of monetary policy uncertainty used in the literature, namely, the implied volatility of options on one-year swap rates (swaptions), taken from Carlston and Ochoa (2016).
Figure 6: MPU Index vs. VIX (monthly)
This figure displays our index against the stock market options-based implied volatility measure (VIX) and shows a weakly positive correlation.
Figure 7: MPU Index vs. EPU index (monthly)
This figure shows that our MPU index is only weakly correlated with Baker, Bloom and Davis' (2015) Economic Policy Uncertainty (EPU) index.
Figure 8: MPU Index vs. sub-category EPU (monthly)
This figure compares our MPU index with the monetary policy sub-index of EPU.
Figure 9: MPU around FOMC Meetings
This figure displays how the MPU index evolves on the days before and after FOMC meetings and how its behavior changed at the time the policy rate reached the lower bound and the FOMC relied increasingly on forward guidance.
Figure 10: MPU around FOMC Meetings, proximity search
This figure shows the pattern around the FOMC meetings is robust using the MPU index constructed with the proximity refinement.