monetary {bsvarSIGNs}

A 6-variable US monetary policy data, from 1965 Jan to 2007 Aug

Description

A sample data to identify monetary policy shock.

Usage

data(monetary)

Format

A matrix and a ts object with time series of over two hundred observations on 5 variables:

gdpc1

monthly real gross domestic product

gdpdef

monthly gross domestic product: implicit price deflator

cprindex

monthly consumer price index

totresns

monthly reserves of depository institutions

bognonbr

monthly non-borrowed reserves of depository institutions

fedfunds

monthly federal funds effective rate

Source

Replication package, https://www.aeaweb.org/articles?id=10.1257/aer.20161852

References

Antolín-Díaz & Rubio-Ramírez (2018) Narrative Sign Restrictions for SVARs, American Economic Review, 108(10), 2802-29, <doi:10.1257/aer.20161852>.