6533b883fe1ef96bd12dc5e8

RESEARCH PRODUCT

Data for: Mixed Frequency GVAR analysis of macro-uncertainty and financial stress spillovers in the Eurozone

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This is the code to replicate the analysis in the paper "Mixed Frequency GVAR analysis of macro-uncertainty and financial stress spillovers in the Eurozone" by Andrea Cipollini and Ieva Mikaliunaite.# CLIFS.txt contains the Country-level index of financial stress from ECB database# GDP_uncertainty.txt contains GDP growth uncertainty index, by Rossi and Sekhposyan (2017)# weights_trade.txt contains the trade weights from BIS. # The file Rstudio_code replicate the results for full sample MF-GVAR model, in Tables 3-6 (Panels A, Full sample, h=4).# Please choose a working directory using setwd("set working directory") THIS DATASET IS ARCHIVED AT DANS/EASY, BUT NOT ACCESSIBLE HERE. TO VIEW A LIST OF FILES AND ACCESS THE FILES IN THIS DATASET CLICK ON THE DOI-LINK ABOVE