bvarsv (version 1.1)

Example data sets: US Macroeconomic Time Series

Description

Inflation rate, unemployment rate and treasury bill interest rate for the US, as used by Primiceri (2005). Whereas usmacro covers the time period studied by Primiceri (1953:Q1 to 2001:Q3), usmacro.update updates the data until 2015:Q2.

Format

Multiple time series (mts) object, series names: `inf', `une', and `tbi'.

Source

Inflation data provided by Federal Reserve Bank of Philadelphia (2015): `Real-Time Data Research Center', https://www.phil.frb.org/research-and-data/real-time-center/real-time-data/data-files/p Accessed: 2015-10-29. The inflation rate is the year-over-year log growth rate of the GDP price index. We use the 2001:Q4 vintage of the price index for usmacro, and the 2015:Q3 vintage for usmacro.update. Unemployment and Treasury Bill: Federal Reserve Bank of St. Louis (2015): `Federal Reserve Economic Data', http://research.stlouisfed.org/fred2/. Accessed: 2015-10-29. The two series have the identifiers `UNRATE' and `TB3MS'. For each quarter, we compute simple averages over three monthly observations. Disclaimer: Please note that the providers of the original data cannot take responsibility for the data posted here, nor can they answer any questions about them. Users should consult their respective websites for the official and most recent version of the data.

References

Primiceri, G.E. (2005): `Time Varying Structural Vector Autoregressions and Monetary Policy', Review of Economic Studies 72, 821-852.

Examples

## Not run: 
# 
# # Load and plot data
# data(usmacro)
# plot(usmacro)
# 
# ## End(Not run)