| optimism {bsvarSIGNs} | R Documentation |
A 5-variable US business cycle data, from 1955 Q1 to 2004 Q4
Description
A sample data to identify optimism shock.
Usage
data(optimism)
Format
A matrix and a ts object with time series of over two hundred observations on 5 variables:
- productivity
quarterly factor-utilization-adjusted total factor productivity
- stock_prices
quarterly end-of-period S&P 500 divided by CPI
- consumption
quarterly real consumption expenditures on nondurable goods and services
- real_interest_rate
quarterly real interest rate
- hours_worked
quarterly hours of all persons in the non-farm business sector
The series are as described by Beaudry, Nam and Wang (2011) in section 2.2.
Source
Replication package, https://www.econometricsociety.org/publications/econometrica/2018/03/01/inference-based-structural-vector-autoregressions-identified
References
Arias, Jonas E., Juan F. Rubio‐Ramírez, and Daniel F. Waggoner. "Inference based on structural vector autoregressions identified with sign and zero restrictions: Theory and applications." Econometrica 86, no. 2 (2018): 685-720. <doi:10.3982/ECTA14468>
Beaudry, Paul, Deokwoo Nam, and Jian Wang. Do mood swings drive business cycles and is it rational?. No. w17651. National Bureau of Economic Research, 2011. <doi:10.3386/w17651>