Comment

Abstract

Bauer and Swanson ’ s paper is an important contribution to the litera-ture measuring the dynamic effects of monetary policy shocks on the macroeconomy. It shows what can go wrong using apparently exoge-nous high-frequency monetary policy surprises as instruments for monetary policy shocks, and it shows how to correct the faulty estimates and inference by incorporating appropriate control variables. It is also the fi rst paper to use the expanded set of monetary policy surprises com-piled by Swanson and Jayawickrema (2022), another important contribution. The culmination of the authors ’ work is the monthly impulse responses shown in fi gure 8 of the paper. These are the new benchmark impulse response functions for the effect of Federal Reserve monetary policy shocks on the US macroeconomy.