Climate Policy Uncertainty and Macroeconomic Dynamics: Financial Amplification and State-Dependent Effects

Description

The data used in this paper is derived from publicly available sources: • Macroeconomic Data: Federal Reserve Economic Data (FRED). • Climate Policy Uncertainty: Environmental Policy Uncertainty Index (https://www.journals.uchicago.edu/doi/full/10.1086/729529) and Equity Market Volatility Tracker (https://fred.stlouisfed.org/series/EMVENRGYENVREG). All necessary raw data files are included in the Data/Raw folder. No proprietary or confidential data is required to run this code.

Steps to reproduce

To ensure the code runs without errors, please unzip the folder Replication Package maintaining the following internal structure: Replication Package/ ├── Data/ │ ├── Raw/ (Contains original datasets from FRED, EPU, etc.) │ └── Processed/ (Generated by the code) ├── Stata Codes/ │ ├── Aux/ (Auxiliary scripts for shock generation) │ ├── 1_Import.do │ ├── 2_Edit.do │ ├── 3_Baseline_IRF.do │ ├── 4_StateDependent_IRF.do │ └── [Appendix .do files...] ├── Matlab Codes/ │ ├── Figure6_7.m │ └── [Appendix .m files...] ├── Results/ │ ├── Figures/ (Output folder for graphs) │ └── Tables/ (Output folder for .tex/.xls tables) ├── Main_Analysis.do (Master script for Main Paper) ├── Appendix.do (Master script for Online Appendix) └── ModelAnalysis.m (Master script for Model Results) Instructions for Replication Part 1: Empirical Evidence (Stata) The empirical analysis is split into two master files: one for the Main Text and one for the Online Appendix. Important: Setting the Path Before running any Stata code, you must define the root directory on your machine. 1 Open Main_Analysis.do (or Appendix.do). 2 Locate the line: global replication = "/Users/facun/Library/..." 3 Change this path to the location where you saved the Replication Package folder on your computer. To Replicate the Main Paper Figures (Figures 1-5): 1 Open Main_Analysis.do. 2 Run the entire script. It will sequentially execute: ◦ Data import and cleaning. ◦ Figure 1 & Table 1: Shock series and summary stats. ◦ Figure 2 & 3: Baseline Impulse Response Functions (IRFs). ◦ Figure 4 & 5: State-dependent IRFs (Expansions vs. Recessions). 3 Outputs are saved in Results/Figures. To Replicate the Online Appendix (Figures A1-B5): 1 Open Appendix.do. 2 Update the global replication path. 3 Run the script. It will generate: ◦ Table 1 (App A1): Detailed summary statistics. ◦ Figures 2-5 (App A2): GARCH estimation details. ◦ Figures 6-25 (App B1-B5): Robustness checks (Alternative horizons, individual indices, etc.). Part 2: Quantitative Model (Matlab/Dynare) The theoretical results are generated using Matlab. Ensure Dynare is installed and added to your Matlab path. To Replicate Model Results (Figures 6-7 & Appendix C): 1 Open Matlab and set the Current Folder to Replication Package/Matlab Codes/. 2 Open the master script ModelAnalysis.m. 3 Run the script. It will automatically call the sub-routines to generate: ◦ Figure 6 & 7: Main text model IRFs (Capital Quality vs. Carbon Tax Volatility). ◦ Figure 26: Online Appendix C3. ◦ Figures 27-32: Online Appendix C5-C7.

Institutions

• Rutgers University New Brunswick

  NJ, New Brunswick

Categories

Licence