Haroon Mumtaz and Laura Sunder-Plassmann, "Time-Varying Dynamics of
the Real Exchange Rate. An Empirical Analysis", Journal of Applied
Econometrics, Vol. 28, No. 3, 2013, pp. 498-525.

The dataset is quarterly and runs from 1955 Q2 to 2009 Q1. It is
provided in a "tab-delimited" text file called ms-data.txt. This ASCII
file is in DOS format. It is zipped in the file ms-data.zip.
Unix/Linux users should use "unzip -a".

The file ms-code.zip contains Gauss and Matlab computer programs to
produce the estimates reported in the paper. All program files are
ASCII files in DOS format. Unix/Linux users should use "unzip -a". 

The file ms-dll.zip contains the dynamic link library irfcode.dll. It
is a binary file. For users of other compilers and operating systems,
the underlying Fortran code is in the file irfcode.f90, which is in
ms-code.zip.

Description of Data

The first column of the data file has dates. The remaining columns contain
data for the United Kingdom, the Euro Area and Canada. These are described
below.

United Kingdom
The second column of the file contains the natural log of UK real GDP
relative to US real GDP. The third column contains the natural log of
UK CPI relative to US CPI. The fourth column contains UK 3 month
treasury bill rate relative to US 3 month treasury bill rate. The
fifth column contains UK real exchange rate relative to the US.

Euro Area
The sixth column of the file contains the natural log of Euro Area
real GDP relative to US real GDP. The seventh column contains the
natural log of Euro Area CPI relative to US CPI. The eighth column
contains Euro Area 3 month treasury bill rate relative to US 3 month
treasury bill rate. The ninth column contains Euro Area real exchange
rate relative to the US.

Canada
The tenth column of the file contains the natural log of Canadian real
GDP relative to US real GDP. The eleventh column contains the natural
log of Canadian CPI relative to US CPI. The twelfth column contains
Canadian 3 month treasury bill rate relative to US 3 month treasury
bill rate. The thirteenth column contains Canadian real exchange rate
relative to the US.

Real GDP for the UK is taken from the Office of National Statistics
and CPI is obtained from the Global financial database. For the Euro
area, these variables are obtained from Eurostat and the OECD and for
Canada from the Canadian Socio-Economic Information Management System.
US data are obtained from the Bureau of Economic Analysis and Bureau
of Labour Statistics. Quarterly nominal bilateral exchange rate data
for all countries are taken from the IMF's International Financial
Statistics (IFS) database. 

Description of estimation code in MS-CODE.zip

Main.src: Gauss code to estimate a 3 variable time-varying vector
autoregression. As an example and for convenience, data for the UK
(described above) is provided in the text file datain.txt. This is
loaded by the Gauss code directly.

TVPvar4.src: Gauss code to estimate a 4 variable time-varying vector
autoregression. As an example and for convenience data for the UK
(described above) is provided in the text file data.txt. This is
loaded by the Gauss code directly.

Getunconditionalvol.src: Gauss code to calculate relative time-varying
volatility using the estimated parameters of the time-varying VAR
model (see figure 2 in the paper)

Getcoherencenew.src: Gauss code to estimate the coherence using the
estimated parameters of the time-varying VAR model (see figure 2 in
the paper)

Irf3.src: Impulses responses for the three variable time-varying VAR
model 

Irf4.src: Impulses responses for the four variable time-varying VAR
model. This file uses the dynamic link library irfcode.dll. This is a
fortran library to calculate impulse responses using monte-carlo
integration. The underlying fortran code is in the file irfcode.f90
and was compiled using Intel Visual Fortran. IRF4.src saves the
impulse responses for each Gibbs iteration to a gauss file. The gauss
file extractirf1.src extracts the impulse responses for the first
(supply) shock and saves them in excel files. The gauss file
extractirf2.src extracts the impulse responses for the second (demand)
shock and saves them in excel files. The gauss file extractirf3.src
extracts the impulse responses for the third (monetary Policy) shock
and saves them in excel files.

Simulatefebruary2010.m is a matlab file that produces simulations from
the DSGE model discussed in section 4 of the paper and produces figure
14. This requires the matlab file model_matrices.m (that sets up the
coefficient matrices of the DSGE model) and the package Gensys written
by Chris Sims which can be downloaded free of charge at
http://sims.princeton.edu/yftp/gensys/ 

Simulatevariancespectrum2010.m is a matlab file that produces
estimates of the unconditional variance and coherence using the DSGE
model discussed in section 4 of the paper and produces figure 15. This
requires the matlab file model_matrices.m and the Gensys package.

The Gauss and Matlab files may require file paths to be changed.  

Contact: haroon.mumtaz [AT] bankofengland.co.uk