LN: Interaction between monetary policy and the stock market

In alexanderlange53/SVAR_Identification_Package: Data-Driven Identification of SVAR Models

Interaction between monetary policy and the stock market

Description

A five dimensional time series model which is commonly used to analyze the interaction between monetary policy and the stock market.
Monthly observations from 1970M1 to 2007M6:

q	Linearly detrended log of an industrial production index
pi	Annual change in the log of consumer prices (CPI index) (x100)
c	annual change in the log of the World Bank (non energy) commodity price index (x100)
s	Log of the real S&P500 stock price index deflated by the consumer price index to measure the real stock prices; the series is first differenced to represent monthly returns
r	Interest rate on Federal funds

All series, with exception of the commodity price index (c), are taken from the FRED database and transformed as in Luetkepohl & Netsunajev (2017). The commodity price index comes from the World Bank. A more detailed description of the data and a corresponding VAR model implementation can be found in Luetkepohl & Netsunajev (2017).

Usage

LN

Format

A data.frame containing 450 observations on 5 variables.

Source

Luetkepohl H., Netsunajev A., 2017. "Structural vector autoregressions with smooth transition in variances."
Journal of Economic Dynamics and Control, 84, 43 - 57. ISSN 0165-1889.

alexanderlange53/SVAR_Identification_Package documentation built on Feb. 2, 2023, 5:25 a.m.