monetary_var_data: Data to estimate a standard monetary VAR

Description Usage Format Source References

Description

A tibble, containing data to estimate a standard monetary VAR.

Usage

1

Format

A tibble with 494 monthly observations (rows) and 6 variables (columns):

EM

Log of non-agricultural payroll employment.

P

Log of personal consumption expenditures deflator (1996 = 100).

POCM

Annual growth rate of the index of sensitive materials prices issued by the Conference Board.

FF

Federal funds rate.

NBRX

Ratio of nonborrowed reserves plus extended credit to total reserves.

M2

Annual growth rate of M2 stock.

Sample: 1960:01 - 2001:02.

Source

https://www.aeaweb.org/articles?id=10.1257/0002828053828518

References

Jordà, Ò. (2005) "Estimation and Inference of Impulse Responses by Local Projections." American Economic Review, 95 (1): 161-182.


lpirfs documentation built on March 24, 2021, 1:10 a.m.