Code and Data for final paper in applied econometrics at ENSAE 2020
These files replicate the results in “Anticipation of an Interest Rate Shockand Monetary Policy in the Eurozone” By Aymeric Lachaux, Jung Hyun Kim
May 17, 2020
Prerequisites These files require a working installation of R and Matlab.
Replication
The plots in the paper can be replicated by .R using the attached saved files.
For a full replication for various VAR models: first) run VAR_KIM.R use IRF_function.R to call "ellen" function second) run BVAR_KIM.R use IRF_function.R to call "ellen" function
File Structure
data_eurozone.R:
The code merge each input to create the dataset.
Detailed procedures are contained inside this code file.
input:
- interest_rate.xlsx
- inflation.xlsx
- gdp_real.xlsx
- gdp_potential.xlsx
output:
if do_write:
- data_eurozone.csv
VAR_KIM.R BVAR_KIM.R
This script estimates VAR and BVAR.
input:
- data_eurozone.csv
output:
- Forecasted values (ex.P6Q, R2Q, Y4Q, ....)