Self-fulfilling Volatility and a New Monetary Policy

Published: 4 March 2024| Version 1 | DOI: 10.17632/xbwkt2xsz3.1
, Marc Dordal i Carreras


Data and code necessary for replicating the empirical evidence and model simulation exercises in the appendix of the paper titled "Self-fulfilling Volatility and a New Monetary Policy" by Seung Joo Lee and Marc Dordal i Carreras.


Steps to reproduce

To replicate the figures and tables presented in the paper, first ensure that the "replication_appendix" is unzipped and stored on your computer. Below is a description of the folders contained within: - **Code Folder**: This folder houses all necessary code to replicate the figures and tables. Begin by running the "" file in Stata to prepare the data. Then, use the Matlab files "Figure_B1_replicate.m", "Figure_D7_replicate.m" and "empirics_replicate.m" to replicate the figures and tables. The subfolder "VAR_toolbox" includes Matlab functions essential for computing the results. Ensure the directory path at the start of the files directs to the folder containing the "replication_appendix" on your local computer. - **Data Folder**: Contains the original data series utilized to derive our results. Additionally, this folder includes a readme file that provides detailed information on the data sources. - **Temp Folder**: Used for storing temporary data files generated by the code. - **Results Folder**: This is where the figures and tables generated after running the code are stored.


Hong Kong University of Science and Technology, University of Oxford Said Business School


Economics, Macroeconomics, Business Cycle, Dynamic Stochastic General Equilibrium