Replication package for “Measuring the Inflation Anchor”

Description

Code and data that reproduce the empirical results, tables and figures of “Measuring the Inflation Anchor” by Fabio Gómez-Rodríguez. The paper measures the inflation anchor as the most persistent component of the term structure of market-based inflation expectations. The package estimates a Bayesian factor VAR on the Federal Reserve Bank of Cleveland’s 1–10 year expected inflation curve, identifies an anchor shock and a transitory shock by maximum forecast-error-variance shares, and uses the two shocks as external instruments in a macroeconomic Bayesian VAR. It also runs every robustness check, historical decomposition and test reported in the paper, the curve-level unit-root tests (PANIC and the functional test of Chang, Kim and Park), and the calibration of the paper’s theoretical model. The code is in Python 3.13, and run_all.sh reproduces everything in about 45 minutes on one core. The folder paper_outputs holds the outputs used in the paper, and compare_outputs.py checks a fresh run against them. The README lists every data source with its provider, retrieval date and citation, and maps the paper’s tables, figures and numbers to the programs that produce them.

Steps to reproduce

pip install -r requirements.txt bash run_all.sh python3 compare_outputs.py

Institutions

• Lehigh University

  Pennsylvania, Bethlehem

Categories

Licence