usamon: A quarterly U.S. data covering the period from 1954Q3 to...
In saviviro/gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models
usamon R Documentation
A quarterly U.S. data covering the period from 1954Q3 to 2021Q4 (270 observations) and consisting four variables:
the log-difference of real GDP, the log-difference of GDP implicit price deflator, the log-difference of producer
price index (all commodities), and an interest rate variable. The interest rate variable is the effective federal funds
rate from 1954Q3 to 2008Q2 and after that the Wu and Xia (2016) shadow rate, which is not constrained by the zero lower
bound and also quantifies unconventional monetary policy measures. The log-differences of the GDP, GDP deflator,
and producer price index are multiplied by hundred. This data is used in Virolainen (forthcoming).
Description
A quarterly U.S. data covering the period from 1954Q3 to 2021Q4 (270 observations) and consisting four variables:
the log-difference of real GDP, the log-difference of GDP implicit price deflator, the log-difference of producer
price index (all commodities), and an interest rate variable. The interest rate variable is the effective federal funds
rate from 1954Q3 to 2008Q2 and after that the Wu and Xia (2016) shadow rate, which is not constrained by the zero lower
bound and also quantifies unconventional monetary policy measures. The log-differences of the GDP, GDP deflator,
and producer price index are multiplied by hundred. This data is used in Virolainen (forthcoming).
Usage
usamon
Format
A numeric matrix of class 'ts' with 270 rows and 4 columns with one time series in each column:
- First column (GDP):
The log-difference 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.
Source
The Federal Reserve Bank of St. Louis database and the Federal Reserve Bank of Atlanta's website
References
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.
saviviro/gmvarkit documentation built on March 8, 2024, 4:15 a.m.
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| usamon | R Documentation |
A quarterly U.S. data covering the period from 1954Q3 to 2021Q4 (270 observations) and consisting four variables: the log-difference of real GDP, the log-difference of GDP implicit price deflator, the log-difference of producer price index (all commodities), and an interest rate variable. The interest rate variable is the effective federal funds rate from 1954Q3 to 2008Q2 and after that the Wu and Xia (2016) shadow rate, which is not constrained by the zero lower bound and also quantifies unconventional monetary policy measures. The log-differences of the GDP, GDP deflator, and producer price index are multiplied by hundred. This data is used in Virolainen (forthcoming).
Description
A quarterly U.S. data covering the period from 1954Q3 to 2021Q4 (270 observations) and consisting four variables: the log-difference of real GDP, the log-difference of GDP implicit price deflator, the log-difference of producer price index (all commodities), and an interest rate variable. The interest rate variable is the effective federal funds rate from 1954Q3 to 2008Q2 and after that the Wu and Xia (2016) shadow rate, which is not constrained by the zero lower bound and also quantifies unconventional monetary policy measures. The log-differences of the GDP, GDP deflator, and producer price index are multiplied by hundred. This data is used in Virolainen (forthcoming).
Usage
usamon
Format
A numeric matrix of class 'ts' with 270 rows and 4 columns with one time series in each column:
- First column (GDP):
The log-difference 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.
Source
The Federal Reserve Bank of St. Louis database and the Federal Reserve Bank of Atlanta's website
References
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.
R Package Documentation
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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