Covered Interest Parity: A Forecasting Approach to Estimate the Neutral Band
Description
Data and codes for replicating results in "Covered Interest Parity: A Forecasting Approach to Estimate the Neutral Band". Start in the "Readme" file.
Files
Steps to reproduce
Readme file To generate a figure or retrieve the estimated values reported in a table, you do not need to run the corresponding R scripts that perform the estimations (these scripts usually have filenames ending in "_est"). The estimation results are already saved in RData files, which can be accessed by running the following command in the RStudio console: load("name_of_file.RData") Be aware that running the estimation scripts can be time-consuming, especially for the SV and SVL models, which may take more than a day to complete. Figures: - figs_1-2: to reproduce Figures 1 & 2 execute "desc_plots_t1.R" - figs_3-6: to reproduce Figures 3-6 execute "band_plots_t4.R" - Data contained in the "*_out.RData" files is obtained by running - "TAR_est.R", "FGARCH_est.R", "SV_est.R" and "SVlev_est.R" - Note that the SV and SVlev files require 72 hours to run through the whole sample - fig_7: to reproduce Figure 7 execute "gbp_sv_plot.R" - To obtain "svts_est_out.RData" run "gbp_sv_est.R" - fig_8: to reproduce Figures 1 & 2 execute "desc_plots_t1.R" - fig_9: to reproduce Figure 9 execute "g10_factor_plots.R" - To obtain "all_factor_estimates_out.RData" run "g10_factor_estimates.R" - fig_10: to reproduce Figure 10 execute "all_factor_plots.R" - To obtain "all_factor_estimates_out.RData" run "all_factor_estimates.R" - figs_app-c: to reproduce Figures in Appendix C execute "band_plots_t4.R" - Data contained in the "*.RData" files is obtained by running - "TAR_exp_fn_t4.R", "FGARCH_exp_fn_t3.R", "SV_exp_fn_t4.R" and "SVlev_exp_fn_t4.R" - Note that the SV and SVlev files require 72 hours to run through the whole sample Table X in the main text is reproduced by executing the "tab_X.R" file. - Data contained in the "*_out.RData" files is obtained by running - "TAR_est.R", "FGARCH_est.R", "SV_est.R" and "SVlev_est.R" - Note that the SV and SVlev files require 72 hours to run through the whole sample Note: You can use the file "table_6.R" to reproduce all results in Tables 7, 9 and 10. You will need to adapt the code.