We develop a U.S. monetary policy shock series that stably bridges periods of conventional and unconventional policymaking, is largely unpredictable, and contains no significant central bank information effect. We attribute differences between our measure and often-used alternatives to our econometric procedure, a partial least squares approach, and our using the full maturity spectrum of interest rates in estimating the shock. We find that shocks to our monetary policy series have particularly large effects on maturities in the middle of the term structure and produce conventionally-signed impulse responses of output and inflation.

中文翻译：

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美联储货币政策冲击的统一衡量标准

我们开发了一个美国货币政策冲击系列，可稳定地桥接常规和非常规政策制定的各个时期，在很大程度上是不可预测的，并且不包含任何重大的央行信息影响。我们将计量方法和常用替代方法之间的差异归因于经济计量程序，偏最小二乘方法，以及我们使用全部到期利率范围来估计冲击。我们发现，对我们的货币政策系列的冲击对期限结构中间的期限有特别大的影响，并产生了产出和通货膨胀的常规签名的脉冲响应。