Replication Codes for Real Interest Rates and Productivity in Small Open Economies

Published: 3 February 2023| Version 2 | DOI: 10.17632/f6cwz9jrhc.2
Contributors:
Daniele Siena,
,

Description

This is the replication package for the paper "Real Interest Rates and Productivity in Small Open Economies includes" by Tommaso Monacelli, Luca Sala and Daniele Siena. The file contains (i) all the data (ii) an online appendix including the exact description of the data (iii) replication codes for all the figures of the paper (iv) replication codes for all the figures mentioned in the paper and not directly shown.

Files

Steps to reproduce

All data (sources in the online appendix) are available in: "Dataset_Raw_Oct2022.xlsm" - program: excel - inside the folder "Dataset_Raw" "RealRates_oct22.xlsx" - program: excel - inside the folder "Interest_rate" Step 1: Construct TFP measure a) Start with the non adjusted TFP measures First, go in the "TFP_codes" folder Open and run: "mss_tfp_calculation_oct2022.prg" program: eviews running time (depending on the computer): 3min,35sec b) adjusted TFP measures Second, stay in the folder "TFP_codes". Open matlab (first - to have the admin rights) and run: "TFP_adjustment_Imbs99_oct22.m" program: matlab running time (depending on the computer): 3.02sec Step 2: Replication of Figure 1 and Figure 2 Go in the folder "Facts" Open matlab (first - to have the admin rights) and then run: "Facts_jan_23.m" program: matlab Figures will be made and saved in the same folder "Facts" Inside the code you can chose what TFP measure to use and how many lags running time (depending on the computer): 18.05sec Step 3: Replication of Figure 3,4,5,6,7 Go in the folder VAR/VAR_analysis Open matlab (first - to have the admin rights) and then run: "pooling_VAR_Oct2022.m" All figures will be made and saved in the folder VAR/VAR_analysis/figures Figure 3 = empiricalVAR_1cou5End2019order4TFP2_EME.eps Figure 4 = empiricalVAR_3cou3End2019order4TFP2_AE.eps Figure 5 = robustness_2_cou_cpi_VAR_3_cou3End2019orderallTFPall_AE.eps Figure 6 = robustness_2_cou_cpi_VAR_3_cou3End2019orderallTFPall_EME.eps Figure 7 = robustness_1_cou_cpi_VAR_all_cou3End2019order4TFP2_AE.eps Inside the code you can chose to run everything or specify what TFP measure to use, what set of countries, what SVAR specification, what type of real interest rate to use and what sample to use. running time of all specifications - to replicate all graphs (depending on the computer): 29min,9sec Remember: it is not necessary to run all specifications for Figure 3 and 4

Institutions

Politecnico di Milano Dipartimento di Ingegneria Gestionale, Universita Bocconi, Universita Bocconi Dipartimento di Economia Ettore Bocconi, Politecnico di Milano School of Management

Categories

Econometrics, International Economics, Aggregate Productivity, Macroeconomic Aspect of International Finance, Interest Rate, Open Economy Macroeconomics

Licence