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Exchange rates and macroeconomic fundamentals (replication data)
We examine the relationship between exchange rates and macroeconomic fundamentals using a two-step maximum likelihood estimator through which we compute time-varying factor... -
US Weekly Economic Index: Replication and extension (replication data)
Replication materials for "US Weekly Economic Index: Replication and extension", by Philipp Wegmueller and Christian Glocker, Journal of Applied Econometrics, forthcoming. -
Quantifying investor narratives and their role during COVID-19 (replication f...
This paper elicits and quantifies narratives from open-ended surveys sent daily to U.S. stockholders during the first wave of the COVID-19 pandemic. Using textual analysis, we...
