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Tracking Economic Activity With Alternative High-Frequency Data (replication ...
This data package contains the replication data files data_ch.Rda and data_ch.xlsx related to the Journal of Applied Econometrics article titled Tracking Economic Activity With... -
Unraveling the Productivity Paradox: Evidence for Germany
Despite massive digitization efforts, the German economy has experienced a marked slowdown in its productivity growth. This paper empirically analyzes three prominent... -
Noisy monetary policy announcements (replication data)
Replication files for: Dahlhaus, T. and Gambetti L., Noisy Monetary Policy Announcements, Journal of Applied Econometrics. MainProg_JAE.m replicates the analysis in Section... -
Fast and order-invariant inference in Bayesian VARs with non-parametric shock...
The shocks which hit macroeconomic models such as Vector Autoregressions (VARs) have the potential to be non-Gaussian, exhibiting asymmetries and fat tails. This consideration... -
Expecting the unexpected: Stressed scenarios for economic growth (Replication...
We propose the construction of conditional growth densities under stressed factor scenarios to assess the level of exposure of an economy to small probability but potentially... -
Statistical identification in panel structural vector autoregressive models b...
This paper introduces a novel panel approach to structural vector autoregressive analysis. For identification, we impose independence of structural innovations at the pooled... -
Nonlinearities in macroeconomic tail risk through the lens of big data quanti...
Modeling and predicting extreme movements in GDP is notoriously difficult and the selection of appropriate covariates and/or possible forms of nonlinearities are key in... -
Forecasting and stress testing with quantile vector autoregression (replicati...
Replication materials for "Forecasting and stress testing with quantile vector autoregression" by S. Chavleishvili and S. Manganelli, Journal of Applied Econometrics, 2023,... -
Heterogeneity and dynamics in network models (replication data)
Description of dataset (from Datastream, Bloomberg and BIS) corresponding to the paper "Heterogeneity and Dynamics in Network Models" by Enzo D'Innocenzo, Andre Lucas, Anne... -
Heterogeneous responses to corporate marginal tax rates: Evidence from small ...
Do small and large firms respond differently to tax cuts? Using new narrative measures of the exogenous variation in corporate marginal tax rates and a unique dataset of U.S.... -
Identifying exchange rate effects and spillovers of U.S. monetary policy shoc...
We propose a novel econometric approach to estimating time-varying policy effects using external instruments in the presence of time-varying instrument relevance in a... -
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. -
Oil prices uncertainty, endogenous regime switching, and inflation anchoring ...
Data and code to replicate the results in "Oil prices uncertainty, endogenous regime switching, and inflation anchoring" -
Understanding trend inflation through the lens of the goods and services sect...
We distinguish between the goods and services sectors in an unobserved components model of U.S. inflation. We find that prior to the early 1990s, both sectors contributed to... -
Subspace shrinkage in conjugate Bayesian vector autoregressions (replication ...
For the empirical exercise we use quarterly macroeconomic data for the US, obtained from the FRED-QD database (https://research.stlouisfed.org/econ/mccracken/fred-databases/).... -
Global Financial Uncertainty (replication data)
Giovanni Caggiano and Efrem Castelnuovo's "Global Financial Uncertainty" dataset. It contains: i) the monthly volatility data used to estimate our global, region, and... -
A tripolar model of gas price formation in Germany. Does the shale revolution...
The data set includes 204 monthly observations starting from Jan 2005. The file: variables.txt contains 10 variables used for the analysis. All variables are denoted in natural... -
The Estimation of Reaction Functions under Tax Competition
Most of the empirical literature on tax competition has been using panel models in which each country's tax rate responds to a weighted average of other countries' tax rates,... -
A comparison of approaches to select the informativeness of priors in BVARs
Vector autoregressions (VARs) are richly parameterized time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, in small...
