Data for: Mixed Frequency GVAR analysis of macro-uncertainty and financial stress spillovers in the Eurozone

Published: 28 Nov 2019 | Version 1 | DOI: 10.17632/h7yfpbvghd.1
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Description of this data

This is the code to replicate the analysis in the paper "Mixed Frequency GVAR analysis of macro-uncertainty and financial stress spillovers in the Eurozone"
by Andrea Cipollini and Ieva Mikaliunaite.

# CLIFS.txt contains the Country-level index of financial stress from ECB database
# GDP_uncertainty.txt contains GDP growth uncertainty index, by Rossi and Sekhposyan (2017)
# weights_trade.txt contains the trade weights from BIS.

# The file Rstudio_code replicate the results for full sample MF-GVAR model,
in Tables 3-6 (Panels A, Full sample, h=4).

# Please choose a working directory using setwd("set working directory")

Experiment data files

This data is associated with the following publication:

Macro-uncertainty and financial stress spillovers in the Eurozone

Published in: Economic Modelling

Latest version

  • Version 1

    2019-11-28

    Published: 2019-11-28

    DOI: 10.17632/h7yfpbvghd.1

    Cite this dataset

    Cipollini, Andrea; Mikaliunaite, Ieva (2019), “Data for: Mixed Frequency GVAR analysis of macro-uncertainty and financial stress spillovers in the Eurozone ”, Mendeley Data, v1 http://dx.doi.org/10.17632/h7yfpbvghd.1

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Empirical Finance

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The files associated with this dataset are licensed under a Public Domain Dedication licence.

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