monetary_var_data

A tibble, containing data to estimate a standard monetary VAR.

datasets

Provides functions to estimate and visualize linear as well as nonlinear impulse
responses based on local projections by Jordà (2005) <doi:10.1257/0002828053828518>.
The methods and the package are explained in detail in Adämmer (2019) <doi:10.32614/RJ-2019-052>.

Philipp Adämmer

lpirfs

Local Projections Impulse Response Functions

James P. LeSage

Mehmet Balcilar

Jon Danielsson

monetary_var_data function

A tibble with 494 monthly observations (rows) and 6 variables (columns):<dl>
 <dt>EM</dt>
<dd>Log of non-agricultural payroll employment.</dd> <dt>P</dt>
<dd>Log of personal consumption expenditures deflator (1996 = 100).</dd> <dt>POCM</dt>
<dd>Annual growth rate of the index of sensitive materials
 prices issued by the Conference Board.</dd> <dt>FF</dt>
<dd>Federal funds rate.</dd> <dt>NBRX</dt>
<dd>Ratio of nonborrowed reserves plus extended credit to total reserves.</dd> <dt>M2</dt>
<dd>Annual growth rate of M2 stock.</dd>
 
</dl>Sample: 1960:01 - 2001:02.

Format

Data to estimate a standard monetary VAR — monetary_var_data

A tibble with 494 monthly observations (rows) and 6 variables (columns):<dl>
 <dt>EM</dt>
<dd>Log of non-agricultural payroll employment.</dd>

 <dt>P</dt>
<dd>Log of personal consumption expenditures deflator (1996 = 100).</dd>

 <dt>POCM</dt>
<dd>Annual growth rate of the index of sensitive materials
 prices issued by the Conference Board.</dd>

 <dt>FF</dt>
<dd>Federal funds rate.</dd>

 <dt>NBRX</dt>
<dd>Ratio of nonborrowed reserves plus extended credit to total reserves.</dd>

 <dt>M2</dt>
<dd>Annual growth rate of M2 stock.</dd>


 
</dl>Sample: 1960:01 - 2001:02.

monetary_var_data: Data to estimate a standard monetary VAR

Description

Usage

Arguments

Format

References