Aeimit Lakdawala, "Decomposing the Effects of Monetary Policy Using an
External Instruments SVAR", Journal of Applied Econometrics,
Vol. 34, No. 6, 2019, pp. 934-950.

All files are zipped in the file al-files.zip. Some files are ASCII,
and some are binary. There are several directories and subdirectories.

Replication code:

The files named fig'x' and table'x' recreate the figure and table
numbered 'x' from the main draft.  For the figures, the matlab code
uses the saved results to plot the figures. To create the underlying
VAR results for the figures, run the file 'main.m' and choose the
relevant specification by setting the variable 'spec'.  

There are four categories of data:

1. Macro data (available publicly): included in csv file 'all_data.csv'.

2. Futures data from CME Group

3. Professional Forecasts from Blue Chip (Wolters Kluwer)

4. Greenbook forecasts (publicly available): included in csv files
'GB_GDP' & 'GB_CPI'.

Note: I am not authorized to share the raw data for 2. and 3. However,
I am able to share the futures data that have been converted into the
target and path factors following the Gurkaynak, Sack and Swanson
(2005) methodology.  This data is in csv file 'GSS_Factors'. 

File: all_data
'LCPI'	log consumer price index
'LIP'	log industrial production
'FF'	fed funds rate
'GS1'	1 year Treasury rate
'GS2'	2 year Treasury rate
'EBP'	excess bond premium

All data are from St. Louis FRED, except for excess bond premium which
is available at 
https://www.federalreserve.gov/econresdata/notes/feds-notes/2016/files/ebp_csv.csv

File: GSS_Factors
Target and Path Factors constructed from futures data. See online
appendix and section 3.2 in the paper for details.  Also see
Gurkaynak, Sack and Swanson (2005), "Do actions speak louder than
words?" IJCB 

Files: GB_GDP & GB_CPI
See documentation at
https://www.philadelphiafed.org/-/media/research-and-data/real-time-center/greenbook-data/documentation/documentation_phila_fed_greenbook_data_set.pdf?la=en


Aeimit Lakdawala
aeimit [AT] msu.edu