This package contains the program codes and data files necessary to replicate the results of the spillover analysis in Economic Policy Uncertainty in the Euro Area: Cross-country Spillovers and Macroeconomic Impact By Volker Clausen, Alexander Schloesser and Christopher Thiem September 2018 Please cite this paper if you use any of this material for your own research. Also, please do not redistribute or circulate this package without the author's consent. The author's contact details can be found below. 1. Program files to replicate the spillover analysis: The program files are known to be working with version 9.00 of the WinRATS software distributed by Estima (www.estima.com). To run the programs, extract the folder "EuroEPU_spillover" directly onto the c: drive. The package contains the following files / folders: "C:\EuroEPU\Code - Main Results.rpf" This computes the static and dynamic estimations and replicates most of the tables and figures from the paper. "C:\EuroEPU\Data\" This folder contains the data files that are read in by the RATS programs. "C:\EuroEPU\Code - Incl. US.rpf" RATS program file for the sensitivity analysis in which we control for US EPU spillovers. Please direct any inquiries to: Christopher Thiem University of Duisburg-Essen Universitaetsstr. 12 45117 Essen, Germany E-Mail: christopher.thiem@vwl.uni-due.de 2. Program files to replicate the structural analysis: The program files are known to be working with MATLAB 2016a distributed by MathWorks (www.mathworks.com). To run the programs, extract the folder "EuroEPU_structural" directly onto the c: drive. To replicate the Results, follow the procedure described below: Reproduction of Results in Section 4.2 and Section 1 of the Online Appendix: 1. Run the script ‘BVAR_GIBBS_with_rolling_window_for_constant_sigma’ and set the argument ‘dataset’ to {france_euro_oo, Germany_euro_oo, Italy_euro_oo, set1_oo}. Furthermore, note that line 98 should contain the following statement: ‘window_size= linspace(96+p,96+p,1);’. 2. Load “Data set name,lag=3,prior=2,stability=1,windowsize=96,ki=90,priormean=1”, where 'Data set name' is {france_euro_oo, Germany_euro_oo, Italy_euro_oo, set1_oo}. 3. Run the script ‘analyse_rolling_window_constant_sigma’. All corresponding graphs will be saved in the ‘pics\new’ folder. Reproduction of Results in Section 3 of the Online Appendix: 1. Run the script ‘BVAR_GIBBS_with_rolling_window_for_constant_sigma’ and set the argument ‘dataset’ to {france_euro_oo_sr, Germany_euro_oo_sr, Italy_euro_oo_sr, set1_oo_sr}. Furthermore, note that line 98 should contain the following statement: ‘window_size= linspace(96+p,96+p,1);’. 2. Load “Data set name,lag=3,prior=2,stability=1,windowsize=96,ki=90,priormean=1”, where 'Data set name' is {france_euro_oo_sr, Germany_euro_oo_sr, Italy_euro_oo_sr, set1_oo_sr}. 3. Run the script ‘analyse_rolling_window_constant_sigma’. All corresponding graphs will be saved in the ‘pics\new’ folder. Reproduction of Results in Section 4 of the Online Appendix: 1. Run the script ‘BVAR_GIBBS_with_rolling_window’ and set the argument ‘dataset’ to {france_euro_oo, Germany_euro_oo, Italy_euro_oo, set1_oo}. Furthermore, note that line 98 should contain the following statement: ‘window_size= linspace(72+p,120+p,1);’. 2. Load “Data set name, lag=3, prior=2, stability=1, windowsize=72_120, ki=90, priormean=1”, where 'Data set name' is {france_euro_oo, Germany_euro_oo, Italy_euro_oo, set1_oo}. 3. Run the script ‘analyse_rolling_window_3D_and_2D_graph’ with the argument ‘window_size_uncertainty = 1’ and ‘oo=1’. All corresponding graphs will be saved in the ‘pics’ folder. Reproduction of Results in Section 5 of the Online Appendix: 1. Run the script ‘BVAR_GIBBS_with_rolling_window’ and set the argument ‘dataset’ to {france_euro_oo, Germany_euro_oo, Italy_euro_oo, set1_oo}. Furthermore, note that line 98 should contain the following statement: ‘window_size= linspace(96+p,96+p,1);’. 2. Load “Data set name,lag=3,prior=2,stability=1,windowsize=96,ki=90,priormean=1”, where 'Data set name' is {france_euro_oo, Germany_euro_oo, Italy_euro_oo, set1_oo}. 3. Run the script ‘analyse_rolling_window_3D_and_2D_graph’ with the argument ‘window_size_uncertainty = 0’ and ‘oo=1’. All corresponding graphs will be saved in the ‘pics’ folder. Please direct any inquiries to: Alexander Schlösser University of Duisburg-Essen Universitaetsstr. 12 45117 Essen, Germany E-Mail: alexander.schloesser@vwl.uni-due.de