Replication Files for Time Series Analysis: "The International Monetary Transmission Mechanism"

All the VAR analysis is carried out through the ECB's BEAR Toolbox version 5.1. Users do not have to install or download the Toolbox as it is included in each of the folders. For each Figure there is a "dataset" xls file, a "Settings" m-file which specifies the details of the VAR model (such as the number of lags, the units or countries in the Panel VAR model), and a "Run" m-file which runs the code and saves the output.

There are 6 folders:

1) SVAR_USA: Reproduces Figure 1  in the Manuscript. To do so, go into subfolder SVAR_USA and run folder Run_Figure1. The impulse responses are saved in folder IRF_Files and the Graph is saved in MatLab_Graphs\Graphs.

2) Panel_VAR_AE_EME: Reproduces Figures 3, 4, 19, 20, 21, 22, 24 and 25. To do this, go into subfolder Panel_VAR and run the specific m-file to each of the figures. The impulse responses are saved in folder IRF_Files and the Graph is saved in MatLab_Graphs\Graphs.

3) SVAR_Peru: Reproduces Figures 5 and 26. To do this, go into subfolder SVAR_Peru and run the specific m-file to each of the figures. The impulse responses are saved in folder IRF_Files and the Graph is saved in MatLab_Graphs\Graphs.

4) Country-by-Country VAR: Reproduces Figure 6.

5) Local_Projections_Graphs: Plots the Local Projection Results of Figure 18 and 23.

6) Long_Run_Results: Reproduces Figures 32 and 33. For Figure 32, go into subfolder Long_Run_ExchangeRate and run Run_Figure32. For Figure 33, go into subfolder Long_Run_Differential and Run_Figure33.