usamone | R Documentation |

The cyclical component of the log of real GDP was obtained by applying a one-sided Hodrick-Prescott (HP) filter with the standard smoothing parameter lambda=1600. The one-sided filter was obtained from the two-sided HP filter by applying the filter up to horizon t, taking the last observation, and repeating this procedure for the full sample t=1,...,T. In order to allow the series to start from any phase of the cycle, we applied the one-sided filter to the full available sample from 1947Q1 to 2021Q1 before extracting our sample period from it. We computed the two-sided HP filters with the R package lpirfs (Adämmer, 2021)

```
usamone
```

A numeric matrix of class `'ts'`

with 270 rows and 4 columns with one time series in each column:

- First column (GDP):
The cyclical component of the log of real GDP, https://fred.stlouisfed.org/series/GDPC1.

- Second column (GDPDEF):
The log-difference of GDP implicit price deflator, https://fred.stlouisfed.org/series/GDPDEF.

- Third column (PPI):
The log-difference of producer price index (all commodities), https://fred.stlouisfed.org/series/PPIACO.

- Third column (RATE):
The Federal funds rate from 1954Q3 to 2008Q2 and after that the Wu and Xia (2016) shadow rate, https://fred.stlouisfed.org/series/FEDFUNDS, https://www.atlantafed.org/cqer/research/wu-xia-shadow-federal-funds-rate.

The Federal Reserve Bank of St. Louis database and the Federal Reserve Bank of Atlanta's website

Adämmer P. 2021. lprfs: Local Projections Impulse Response Functions. R package version: 0.2.0, https://CRAN.R-project.org/package=lpirfs.

Virolainen S. (forthcoming). A statistically identified structural vector autoregression with endogenously switching volatility regime.

*Journal of Business & Economic Statistics*.Wu J. and Xia F. 2016. Measuring the macroeconomic impact of monetary policy at the zero lower bound.

*Journal of Money, Credit and Banking*, 48(2-3): 253-291.

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