Readme file for event study exercise for Jones, Kulish and Rees (2021), “International Spillovers of Forward Guidance Shocks”.

#
# Reproduce Table 4 in paper
#

The file Event_study.R reproduces the results in Table 4 of the paper.

-- The coefficient estimates and t-stats are printed and available in
   the data frames with names corresponding to “variable name.estimates”

The file calls two sets of data: 

-- Event_study_data.RData: data for the dependent variables

-- FG_Shocks.xlsx: Data for the forward guidance shocks.

The file Event_study_Canadian_data.R reproduces the data downloads for
the dependent variables. All data is sourced from Canstat and FRED.

The file FG_Shocks.xlsx contains the series of forward guidance
shocks. These are the “Path” shocks in the replication files of
Bundick and Smith, “The Dynamic Effects of Forward Guidance Shocks” <
https://dataverse.harvard.edu/dataset.xhtml?persistentId=doi:10.7910/DVN/EH3JBW>.

