Conventional versus Unconventional U.S. Monetary Policy

Description

This replication package contains the data files and EViews workfiles used to reproduce the empirical results presented in the paper titled: "Conventional versus Unconventional U.S. Monetary Policy: Regime-Dependent Transmission to Commodity Prices"

Steps to reproduce

README – Replication Package Paper Information This replication package contains the data files and EViews workfiles used to reproduce the empirical results presented in the paper. Author(s): • Yazid Dissou • Motasem Qaddoura Software Requirements The empirical analysis was conducted using EViews 10. The EViews workfiles are provided in .wf1 format. File Description 1. Event Study Analysis File: Data_Event_Study.xlsx This Excel file contains the dataset used for the event study analysis. Contents include: • Financial market variables • Monetary policy event information • Time-series observations used in the estimation and construction of figures and tables related to the event study framework. Format: • Microsoft Excel Workbook (.xlsx) File: EventStudy.wf1 This EViews workfile contains: • Imported event study dataset • Variable transformations • Estimation procedures • Output used to generate the event study results, tables, and figures presented in the paper. Format: • EViews Workfile (.wf1) Instructions: 1. Open the file in EViews. 2. Run the programs/commands included in the workfile. 3. The outputs and figures can be reproduced directly from the stored objects and estimation results. 2. Exogeneity Check File: Exogeneity check.xlsx This Excel file contains the data used to verify the exogeneity of the identified monetary policy shocks employed in the event study analysis. Contents: - Monetary policy shock series - Financial market variables - Treasury yields - Corporate bond variables - Exchange rate - Economic Uncertainty Index (EUI) - Other variables used in the exogeneity check Format: Microsoft Excel Workbook (.xlsx) 3. SVAR / VECM Analysis File: Data_SVAR_VECM.xlsx This Excel file contains the dataset used for the SVAR and VECM estimations. Contents include: • Macroeconomic and financial variables • Time-series data used in the structural VAR and vector error correction model estimations. Format: • Microsoft Excel Workbook (.xlsx) File: SVAR_VECM.wf1 This EViews workfile contains: • Imported SVAR/VECM dataset • Data transformations • Model estimations • Impulse response functions • Variance decompositions • Figures and tables reported in the paper. Format: • EViews Workfile (.wf1) Instructions: 1. Open the file in EViews. 2. Execute the estimation procedures saved in the workfile. 3. The empirical results and figures reported in the paper can be reproduced from the stored objects. Replication Notes • All estimations were conducted using the datasets and EViews workfiles included in this package. • The workfiles contain the final specifications used in the paper.

Institutions

• University of Ottawa

  Ontario, Ottawa

Categories

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