Replication files for “Bayesian Local Projections”
by Leonardo N. Ferreira, Silvia Miranda-Agrippino, and Giovanni Ricco


The attached files contain MATLAB replication files that run “Bayesian Local Projections” and store the outputs in the subfolders "CHARTS" and "MATfiles". The dataset used is described in the Online Appendix.


1) A demo producing the IRFs can be found in the folder "demo_IRFs".

a) The file MAIN_BLPreplication.m generates IRFs using the different priors, and compare the results with the results produced by alternatives methods.
b) The file MAIN_BLP_RollingSubsamples.m reproduces the exercise of rolling subsamples.


2) A demo producing the forecasts can be found in the folder "demo_forecasts".

a) The file MAIN_BLPforecastsMV.m generates the forecats.
b) The file MAIN_ForecastEvaluationMV.m performs the out-of-sample evaluation.