Data for: Fiscal policy shocks and stock prices in the United States.

Published: 26-04-2021| Version 1 | DOI: 10.17632/mcgymdzs53.1
Haroon Mumtaz


The Cholesky VAR model for government spending is stored in VAR_GS\estimate.m (full sample and sub-sample) The Proxy VAR model for tax is stored in VAR_tax\estimate_var.m (full sample). Subsample estimates in Estimate_var_subsample1.m the code for the FAVAR models is in FAVAR_GS and FAVAR_tax respectively