EURO: Data set on the _Euro Monetary Policy Transmission_

In pvars: VAR Modeling for Heterogeneous Panels

Data set on the Euro Monetary Policy Transmission

Description

The data set EURO is a list of 15 'data.frame' objects, each consisting of quarterly observations for

• the first-difference of log real GDP on national dl\_GDP or aggregated EA-level EA\_dl\_GDP,

• the annualized inflation of the (log) GDP deflator on national dl\_deflator or aggregated EA-level EA\_pi,

• the EA-wide short-term interest rate IR,

• the EA-wide option-adjusted bond spreads BBB,

• the first-difference of log real GDP in the remaining countries dl\_GDP\_EA,

• the weighted inflation in the remaining countries dl\_deflator\_EA,

• the inflation of a world commodity price index WCP,

• the US effective federal funds rate US\_FFR,

• the trade volume in percentage of GDP trade, and

• the government spending in percentage of GDP ge.

The data covers the period Q1 2001 to Q1 2020 (T=77) for the aggregate of the Euro area (EA, first element in list) and N=14 of its member countries (subsequent 14 elements in list).

Usage

data("EURO")

Format

A list-format data panel of class 'list' containing 15 'data.frame' objects with named time series.

Source

The prepared Eurostat data set is directly obtainable from the ZBW Journal Data Archive: \Sexpr[results=rd]{tools:::Rd_expr_doi("10.15456/jae.2024044.1425287131")}. This is open data under the CC BY 4.0 license in accordance with the deposit license of the ZBW Journal Data Archive.

References

Herwartz, H., and Wang, S. (2024): "Statistical Identification in Panel Structural Vector Autoregressive Models based on Independence Criteria", Journal of Applied Econometrics, 39 (4), pp. 620-639.

See Also

Other data sets: ERPT, EU_w, ICAP, MDEM, MERM, PCAP, PCIT

pvars documentation built on Nov. 5, 2025, 6:57 p.m.