Lucia Alessi and Mark Kerssenfischer, "The Response of Asset Prices to
Monetary Policy Shocks: Stronger Than Thought", Journal of Applied
Econometrics, Vol. 34, No. 5, 2019, pp. 661-672.

All programs are contained in the file ak-programs.zip. They are ASCII
files in DOS format. Unix/Linux users should use "unzip -a".

The data files are binary files in Matlab format. They are contained
in the file ak-data.zip.

Running 'RUN_ME.m' in Matlab will reproduce all figures shown in the paper.

->'RUN_MAIN_US' produces results for US data
->'RUN_MAIN_EA' produces results for euro area data

-->'MAIN_VARloop' 		specifies 4-variable VARs for each asset
                                price under study
---> VARest			produces point estimates
---> VARest_boot		produces bootstrap estimates

-->'MAIN_DFM'			specifies the dynamic factor model
---> DFMest_BLL			produces point estimates
---> DFMest_BLL_Boot		produces bootstrap estimates

-->'MAIN_plotfigs'		produces Figures 1-4 in the main text
-->'MAIN_plotfigs_robustness'	produces Figures A1-A3 in the Appendix

Mark Kerssenfischer, February 2019