Description

These files are to be used with R and did run in version 4.3.0.

Data files (sources are described in the paper)

The folder 'data' collects all required datafiles alongside the collected output of the estimation procedure across horizons:

• 'dailydata.rda' is the main daily data
• 'exoshocks.rda' are the additionally observed high-frequency shocks that act as controls
• 'mpu_indexes.rda' is the monetary policy uncertainty series
• 'VARdata.rda' is the monthly data used to estimate the auxiliary VAR model
• 'FACTOR_mix_pub_exo_J30Q2sv_lev_facsv.rda' are posteriors required for the VAR

Code files

The individual R-source files are the following:

• 'main_estimation.R' runs the model for all required specifications (set in 'spec_grid.R')
• 'main_estVAR.R' runs the auxiliary VAR model
• 'spec_grid.R' sets up a grid for all required estimations and defines algorithm settings
• 'utils.R' contains several helper functions alongside the main estimation procedure
• 'utils_conjVAR.R' contains the VAR codes
• 'main_output.R' produces all charts shown in the paper from the collected MCMC draws

The required MCMC estimation output 'mix_pub_exo_J30Q2sv_lev_facsv.rda' is available here (Dropbox).

This code comes without technical support of any kind. Please report any typos or errors to: mpfarrho@gmail.com. The code is free to use, provided that the paper is cited properly.