Policy spillovers and its dynamism: Case of fixed vs. flexible exchange rates

Published: 02-07-2018| Version 1 | DOI: 10.17632/msr54btmvh.1
Abhishek Rohit,
Pradyumna Dash


The dataset named "Replication.xlsx" contains first differenced interest rates of 5 AEs (UK, Germany, Canada, Australia, and Japan), 8 EMEs (India, Indonesia, Malaysia, Russia, South Africa, Thailand, Turkey, and Singapore), and US. In a VAR framework, the study estimates two models, i.e., one of US and the AEs and the other one of US with the EMEs. S&P500 and Crude oil price have been used as control variables and are available in the file "controls.xlsx". Further spillover index (Diebold and Yilmaz, 2009) for the full sample and its rolling sample estimates are calculated for these two models using the R code uploaded here, "Replication codes.r".