Data for: Mixed Frequency GVAR analysis of macro-uncertainty and financial stress spillovers in the Eurozone

2019-11-29T06:41:50Z (GMT) by Andrea Cipollini Ieva Mikaliunaite
This is the code to replicate the analysis in the paper "Mixed Frequency GVAR analysis of macro-uncertainty and financial stress spillovers in the Eurozone" by Andrea Cipollini and Ieva Mikaliunaite. # CLIFS.txt contains the Country-level index of financial stress from ECB database # GDP_uncertainty.txt contains GDP growth uncertainty index, by Rossi and Sekhposyan (2017) # weights_trade.txt contains the trade weights from BIS. # The file Rstudio_code replicate the results for full sample MF-GVAR model, in Tables 3-6 (Panels A, Full sample, h=4). # Please choose a working directory using setwd("set working directory")

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CC BY 4.0