Sebastien Fries, Jean-Stephane Mesonnier, Sarah Mouabbi, and Jean-Paul Renne, "National Natural Rates of Interest and the Single Monetary Policy in the Euro Area", Journal of Applied Econometrics, Vol. 33, No. 6, 2018, pp. 763-779. Our replication codes and data are located in the zip file FMMR_RepliCodes.zip. This file includes the following folders: -- csminSIMS: optimisation package used (source: http://sims.princeton.edu/yftp/optimize/); -- Data: includes the relevant database base_mNRI_jae.xlsx (note that the two sheets of this excel file are also available in a csv format: base_mNRI_jae_Main.csv and base_mNRI_jae_Trade.csv); -- results: all workspaces, tables and figures are stored in this folder; -- 4 remaining folders that include useful procedures (e.g. kalman filter, hessian computation, etc). To run our Matlab code and obtain our estimates, please open the main file natrate_jae.m and click on run. This file: -- loads the data; -- initialises the parameters; -- optimises the parameters (using the optimisation package csminSIMS and calling model_set.m where the state-space representation is mapped); -- computes the standard deviations of the parameters. The last lines of this file: -- save the workspace; -- save the parameters on an excel sheet; -- call another file, Prepare_outputs4R_jae.m, which generates excel sheets with all the necessary output to plot the figures of the paper. All this output is respectively saved in two subfolders: -- \results\workspaces; -- \results\tables. To build the exact same figures as in our paper, open \results\make.charts_jae.R on R (or RStudio) and run. This procedure generates and saves all five figures of the paper in \results\figures. The data are stored in the file base_mNRI_jae.xlsx, which includes two sheets: -- Main -- Bilateral Trade The file base_mNRI_jae.xlsx is in the zip file FMMR_RepliCodes.zip and located in \Data. Note that this folder also contains the two sheets of this excel file in a csv format (Comma delimited): -- base_mNRI_jae_Main.csv; -- base_mNRI_jae_Trade.csv. Our data set covers the period from January 1999 to June 2016, at a monthly frequency, for France, Germany, Italy and Spain; while our estimation spans the period April 1999 to June 2016. The sources of the relevant series are listed below: -- Eonia overnight indexed swap rates at a 1-year maturity: Bloomberg (closing prices); -- real GDP: Eurostat (quarterly frequency, seasonally adjusted); -- year-over-year inflation expectations 1 year ahead: these are fixed horizon inflation forecasts that are constructed using proprietary data published by Consensus Economics on inflation forecasts for the current and next calendar year. We only report the transformed data; -- Economic Sentiment Indicator (ESI): Eurostat (not used for estimation); -- Industrial Production Index (IPI): Eurostat; -- HICP excluding energy: ECB SDW (the series for France and Italy are seasonally adjusted in the ECB SDW database, the series for Germany and Spain are seasonally adjusted by us using the Tramo-Seats procedure); -- Oil price (Brent): Bloomberg (not used for estimation); -- Nominal zero-coupon rate at a 1-year maturity: Bloomberg (Generic Government Rate -- GGR); -- Fraction of exports in GDP by exporter and recipient (at an annual frequency): https://comtrade.un.org/data/ -- EUR/USD exchange rate (at an annual frequency): http://www.usforex.com/forex-tools/historical-rate-tools/yearly-average-rates -- GDP (at an annual frequency): ECB SDW