Self-fulfilling Volatility and a New Monetary Policy
Description
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.
Files
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 "data_prepare.do" 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.
Institutions
- Hong Kong University of Science and Technology
- University of Oxford Said Business School