Replication files
Individual Blocks:
GlobalFinancialCode gets results from the block composed only of International Financial variables. Databases required: ECB.xlsx, Data_IMF.xlsx
LocalFinancialCode gets results from the block composed only of Local financial variables. Databases required: dataseries.xlsx, nfci.xlsx, Data_IMF.xlsx
LocalMacroCode gets results from the block composed only of Local macro variables. Databases required: LocalMacroFRED.xlsx, Data_IMF.xlsx
GlobalMacroCode gets results from the block composed only of International macro variables. Databases required: Data_IMF.xlsx
Multi-Level Dynamic Factor model:
MultilevelCode helps reply to results for the main sections in the paper.
The code is written to get the same results based on the identical subsamples. Because of that, you require the following excel files:
Data: Data_IMF.xlsx yorig.xlsx
Factor estimates: AllFactors.xlsx
Subsampling files: YBootsR1V2.xlsx YBootsR2V2.xlsx YBootsR3V2.xlsx YBootsTV2.xlsx FactorsBoots.xlsx
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Metadata
| Field | Value |
|---|---|
| Format | application/zip |
| License | CC-BY 4.0 |
| Type | data |
| Version | 1 |
| Authors | González-Rivera, Gloria and Rodriguez-Caballero, C. Vladimir and Ruiz, Esther |
| DOI | |
| Publication Date | 2024 |
| Availability | OnSite |
| Geographic Area (free) | |
| Temporal Coverage (free) | |
| Unit Type | |
| Number of Units | |
| Sampled Universe | |
| Number of Variables | |
| URL | https://journaldata.zbw.eu/dataset/485dd34e-5551-45cd-ad5b-c85e79398fe3/resource/e4e6b325-4af3-4ac8-ac3d-dae0864f19e4/download/replication-files.zip |
| Last updated | April 9, 2024 |
| Created | April 9, 2024 |
