Spillovers of US Interest Rates: Monetary Policy & Information Effects
Description
This dataset presents a replication Package for "Spillovers of US Interest Rates: Monetary Policy & Information Effects" by Santiago Camara.
Files
Steps to reproduce
Replication Package for "Spillovers of US Interest Rates: Monetary Policy & Information Effects" by Santiago Camara at the Journal of International Economics The paper computes two types of impulse response functions: 1- IRFs via Local Projection Regressions. These local projection regressions are computed in STATA. In particular, STATA MP 16.0 was used. 2- IRFs via Bayesian VAR models. These Bayesian VAR models are estimated using the BEAR Toolbox developed by the European Central Bank. In this paper BEAR Toolbox version 5.1 was used. The BEAR toolbox package is already in the replication package. No need to download it. Both sets of IRFs are graphed using MATLAB. To only produce the graphs, go into the Folder "Produce_Graphs". The README file presents a detailed description of every Figure presented in the paper, which file must be run to replicate the results and which file must be run to produce the graph.