Giovanni Angelini and Luca Fanelli, "Exogenous Uncertainty and the 
Identification of Structural Vector Autoregressions with External 
Instruments", Journal of Applied Econometrics, Vol. 34, No. 6, 2019,
pp. 951-971.


/*------------------------------- Files -------------------------------*/

The zip file af-files.zip contains the following files:

1 - DataSet.xlsx: Dataset in xlsx format with data and description of
    the data (with the related source).

2 - DataSet.txt: Dataset in txt format

/*---------------------------- DataSet.xlsx ---------------------------*/

This file contains:

In the first sheet (DataSet), the following variables:

1 - Dprod: Growth rate of industrial production (%) 

2 - UF1: Measure of 1-period-ahead financial uncertainty

3 - UR1: Measure of 1-period-ahead real uncertainty (a macroeconomic
         uncertainty index purged from financial variables) 

4 - Dhouse: Growth rate of new privately owned housing units started

5 - OilShock: Oil supply shock (see Supplementary Material for details)

The second sheet (Description) contains a brief description of the
variables and the related source.


/*---------------------------- DataSet.txt ---------------------------*/

This file contains the following variables:

1 - Dprod: Growth rate of industrial production (%) 

2 - UF1: Measure of 1-period-ahead financial uncertainty

3 - UR1: Measure of 1-period-ahead real uncertainty (a macroeconomic
         uncertainty index purged from financial variables) 

4 - Dhouse: Growth rate of new privately owned housing units started

5 - OilShock: Oil supply shock (see Supplementary Material for details)


/*---------------------------- Matlab codes ------------------------------*/

The Matlab codes which replicate the main results of the paper are
available at:

https://sites.google.com/view/giovanni-angelini/research-and-publications

or

https://sites.google.com/site/lucafanelliunibo/home

The current versions may also be found in af-codes.zip.