monthlyData {BGVAR}R Documentation

Monthly EU / G8 countries macroeconomic dataset

Description

This data set contains monthly observations on industrial production, consumer price indices, short- and long-term interest rates, the nominal exchange rate against the euro and equity prices. The time period covered is from January 2001 to June 2021 and the country coverage amounts to 31 countries – roughly corresponding to EU member states and G-8 countries, a country model to model common monetary policy in the euro area and an oil price model.

Usage

monthlyData

Format

The data loads four objects monthly.data, which is a list object of length N+2 (i.e, the number of countries, the ECB country model and an oil price 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 output table database (http://www.wiod.org) and are fully described in Timmerman et al. (2015). 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.


[Package BGVAR version 2.4.3 Index]