liulinxmu / svar_proxy_mp_tri

Code for proxy SVAR simu paper

proxy_mp_tri

Code for proxy SVAR paper: Herwartz, Rohloff and Wang (2020): Proxy SVAR identification of monetary policy shocks - Monte Carlo evidence and insights for the US

Notes:

Code:

1. For Monte Carlo Simulation: A complete simulation with full sample size and iteration steps could take a while. Please consider using Code/Simulation/Showcase.R to run a small-scale Monte Carlo experiment. For replication of the results, please use Code/Simulation/Replica.R to extract the files from the folder Code/Simulation/Server. These results are generated on the StatOek3 Server. Server information: 128 CPUs each Intel(R) Xeon(R) CPU E5-4660 v4 @ 2.20GHz.

2. For Application: The main file is Code/Main.R, which contains most of our calculations such as, inter alia, specifications and diagnostics of reduced-form VAR, identifications of structural VAR, computation of IRFs, bootstrap inference. Supplement files:

• Code/Fa.R performs factor-augmented VAR analysis.
• Code/Hist_decomp.R performs historical decompositions.
• Code/Volcker.R computes the cumulative contributions of Vocker's monetary policy to disinflation.
• Code/barplot.R plots the cumulative contributions of Vocker's disinflation as a beautiful bar-plot. Please always run Code/Main.R first, in order to run other supplement files.

3. All involved functions are collected in the local package Code/Functions.

Data:

1. data/USA_Tri.csv contains variables in the VAR system.
2. Folder ``data/Instruments` contains all employed monetary policy proxies.
3. data/Factors/fred-database_code/current.csv contains informational variables, which latent factors are extracted from.