Data for: Dynamics of Monetary Policy Spillover: The Role of Exchange Rate Regimes
The R code in the dataset estimates the spillover index (Diebold & Yilmaz, 2009) for short-term interest rates in the AEs and the EMEs . The file Replication.xlsx contains the interest rates in first differenced format. The file Controls.xlsx contains the exogenous variables to be used as a part of estimation. The code can be used to replicate Table 1, Figure 3 and Figure 4 of the study. The estimation of spillover index has been done using the package "fastSOM", provided by Stefan Kloessner with contributions by Sven Wagner. Please refer to Kloessner, S., Wagner, S. (2013). fastSOM. R package version 1.0.0.