Noisy Monetary Policy Announcements...
Replication files for: Dahlhaus, T. and Gambetti L., Noisy Monetary Policy Announcements, Journal of Applied Econometrics.
Codes were run in Matlab R2023a.
MainProg_JAE.m replicates the analysis in Section 3.2-3.5. Specifically, it loads the data, estimates the news and noise shocks and responses, and estimates the responses to Delphic and Odyssean shocks based on noise-free data. Run NoiseNewsShock.m to produce Figures 1,2, and 3. Run InfoShock1.m and InfoShock2.m to produce Figures 4 and 5, respectively. Main_FinancialVars_monthly.m and Main_FinancialVars_HF replicate the analysis of Section 3.6 loading the data and producing the variance decomposition of news and noise shocks for monthly aggregates of financial variables and the high-frequency change of those variables around FOMC dates, respectively. Financial_responses.m produces and plots the responses of financial variables (Figure 6 and Figure 7).
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Metadata
| Field | Value |
|---|---|
| Format | application/zip |
| License | CC-BY 4.0 |
| Type | code |
| Version | 1 |
| Authors | Dahlhaus, Tatjana and |
| DOI | |
| Publication Date | 2024 |
| URL | https://journaldata.zbw.eu/dataset/8de1bd2e-2a53-45eb-a253-f520ee034651/resource/5084a528-bec4-4b7a-bb14-8fbfe9d6be79/download/noisy-monetary-policy-announcements-replication-codes.zip |
| Last updated | July 10, 2024 |
| Created | July 10, 2024 |
