Replication file for Volatility Shocks in Markets and Policies: What Matters for a Small Open Economy like Canada?
Description
Replication file for Cross, J.L, Kam, T, and Poon, A. (2025). Uncertainty Shocks in Markets and Policies: What Matters for a Small Open Economy like Canada? Economic Modelling.
Files
Steps to reproduce
All data in this paper was sourced from the public domain. Data for Canada was from the Canadian National Statistical Agency, World Bank, and the FRED Database maintained by the St.Louis Fed. Data for US variables was from FRED, with the exception of the shadow rate from Wu and Xia (2016) during the Great Recession which is available from Jing Wu’s website. Details of the exact tables and series IDs are provided in Section C of the papers Online Appendix. The main data used to estimate the model are conveniently located in the file 'main_Data.xlsx'. The steps to replicate the results are in the file 'README.txt'. Note that we have provided the results we used in the paper in .MAT form in the folder 'results_main', however the file size is very large (approx. 4GB).