This is the updated version of the Japanese monetary policy surprise series originally constructed in
Kubota, Hiroyuki, and Mototsugu Shintani (2022), High-Frequency Identification of Monetary Policy Shocks in Japan, The Japanese Economic Review, 73 (3), Pages 483-513.
When using this data, please cite the article above.
Original surprise series (daily window for 1992M7-1999M9, 30-min window for 1999M10-2020M1)
Monthly surprise series (1992M7-2020M1)
This is the updated version of 219 Japanese monthly macroeconomic series originally constructed in
Maehashi, Kohei, and Mototsugu Shintani (2020), Macroeconomic Forecasting Using Factor Models and Machine Learning: An Application to Japan, Journal of the Japanese and International Economies, 58, Article 101104.
When using this data, please cite the article above.
Monthly macroeconomic series (1974M1-2022M12)