usamone: A quarterly U.S. data covering the period from 1954Q3 to...
In saviviro/gmvarkit: Estimate Gaussian and Student's t Mixture Vector Autoregressive Models
usamone R Documentation
A quarterly U.S. data covering the period from 1954Q3 to 2021Q4 (270 observations) and consisting four variables:
cyclical component of the log 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 deflator and producer price
index are multiplied by hundred.
Description
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)
Usage
usamone
Format
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.
Source
The Federal Reserve Bank of St. Louis database and the Federal Reserve Bank of Atlanta's website
References
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.
saviviro/gmvarkit documentation built on March 8, 2024, 4:15 a.m.
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| usamone | R Documentation |
A quarterly U.S. data covering the period from 1954Q3 to 2021Q4 (270 observations) and consisting four variables: cyclical component of the log 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 deflator and producer price index are multiplied by hundred.
Description
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)
Usage
usamone
Format
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.
Source
The Federal Reserve Bank of St. Louis database and the Federal Reserve Bank of Atlanta's website
References
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.
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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