Replication code for "Trends and cycles during the COVID-19 pandemic period"

Description

This replication code complements the article "Trends and cycles during the COVID-19 pandemic period'' and reproduces all quantitative content therein. The code estimates two unobserved components models, for Portugal and the euro area, and performs several trend-cycle decompositions. The procedure copes with the COVID-19's consequences by explicitly considering potentially larger second moments during that period. This is achieved through a set of pandemic-specific shocks affecting only the 2020-21 period and embedded into estimation through a piecewise linear Kalman filter. Results generate negligible revisions in key smoothed variables and in non-pandemic shock volatility when the sample period is expanded until 2021:4, since pandemic shocks absorb a great deal of data volatility with minimal impacts on filtered data revisions or estimated parameters. Further details can be found in the original article and the included readme file. The codes run in Matlab and require the IRIS toolbox for macroeconomic modeling (Copyright (C) 2009-2022 IRIS Solutions Team; all rights reserved), also included here for convenience. The code requires Matlab's Optimization toolbox.

Steps to reproduce

See included ReadMe file.

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