eerData {BGVAR} | R Documentation |

## Example data set to replicate Feldkircher and Huber (2016)

### Description

This data set contains 76 quarterly observations by country, spanning the period from 1995Q1 to 2013Q4. The country coverage is 43 countries and the Euro area (EA) as a regional aggregate.

### Usage

eerData

### Format

The data loads two objects `eerData`

, which is a list object of length `N`

(i.e, the number of countries) and `W.trade0012`

, which is an `N`

times `N`

weight matrix with rowsums summing up to unity and zero elements on its diagonal. The global variable, oil prices, is included in the US country model as e.g., in Dees et al. (2007). The countries are abbreviated using ISO-2 codes. The weight matrix corresponds to average annual bilateral trade flows (including services) over the period from 2000 to 2012.`eerData`

contains the country data, for more details, see below:

`W.trade0012`

Weight matrix based on trade flows, rowsums equal unity.

`W.list`

List of ten weight matrices, described in Feldkircher and Huber (2016).

`eerData`

is a list object of length `N`

containing

`y`

Real GDP, average of 2005=100. Seasonally adjusted, in logarithms.

`Dp`

Consumer prices (period-on-period). CPI seasonally adjusted, in logarithm.

`stir`

Short-term interest rate, typically 3-months money market rate.

`ltir`

Long-term interest rates, typically 10-year government bond yields.

`reer`

Real effective exchange rate, deflated by consumer prices.

`tb`

Trade balance (ratio of real exports to real imports).

`poil`

Price of oil, seasonally adjusted, in logarithms.

`USexpectations`

is a time series object containing US expectations data:

`y_t+4`

Four-quarter ahead expectation of Real GDP growth.

`Dp_t+4`

Four-quarter ahead expectation of consumer price inflation.

`stir_t+4`

Four-quarter ahead expectation of short-term interest rates.

[Package

*BGVAR* version 2.4.3

Index]