monthlyData {BGVAR}R Documentation

Example data set

Description

This data set contains monthly observations on industrial production, consumer price indices, short- and long-term interest rates, real effective exchange rates and equity prices. The time period covered is from January 2000 to December 2015 and the country coverage amounts to 28 countries – roughly corresponding to EU member states + G-8 countries and a country model to model common monetary policy in the euro area.

Usage

data(monthlyData2)

Details

The data loads three objects monthly.data, which is a list object of length N+1 (i.e, the number of countries + the ECB country model), W, which is an N times N weight matrix with rowsums summing up to unity and zero elements on its diagonal. The countries are abbreviated using ISO-2 codes. The weight matrix corresponds to average annual input output flows for the N countries over the period from 2000 to 2014. The data are from the world input outpu table database (www.wiod.org) and are fully described in Timmerman et al. (2015). monthly.data contains the country data. Per default, variables that should affect all countries (global variables) are treated as endogenoues variables in the US country model (poil, pcom, vix). Akin to Georgiadis (2015), interest setting in the euro area is modeled by a Taylor rule that includes ppp-weighted output and prices of euro area countries. The euro area interest rate enters other country models as an additional exogeneous variable. For more details, see below:

References

Georgiadis, G. (2015) Examining asymmetries in the transmission of monetary policy in the euro area: Evidence from a mixed cross-section global VAR model. In: European Economic Review, Vol. 75, pp. 195-215.

Timmer, M. P., Dietzenbacher, E., Los, B., Stehrer, R. and de Vries, G. J. (2015) An Illustrated User Guide to the World Input–Output Database: the Case of Global Automotive Production. In: Review of International Economics, Vol. 23, pp. 575–605.

Examples

library(BGVAR)
data(monthlyData2)
names(new.data2) # shows the countries contained in the data set
ts.plot(new.data2$AT[,"y"]) # plots industrial production for Austria

[Package BGVAR version 1.1.3 Index]