I replicate Miranda-Agrippino & Rey (2020), Review of Economic Studies. In their paper, the authors jointly evaluate the effects of financial, monetary and real variables, in the U.S. and abroad, following a 1% shock of the Federal Reserve (FED) interest rate. In particular, the authors rely on an instrumental variable to identify U.S. monetary policy shocks. This is to avoid implausible restrictions on their variable of interest. My task will be to understand the model of these two scholars and replicate it with simplifications given the time scope of the Macroeconometrics course taught by Dr. Tomasz Woźniak. The specific challenge will be writing R codes to disentangle their framework.
iotifeelo / us-monetary-policy-gfc-replication Goto Github PK
View Code? Open in Web Editor NEWI replicate Miranda-Agrippino & Rey (2020), Review of Economic Studies.
Home Page: https://iotifeelo.github.io/US-Monetary-Policy-GFC-Replication/
License: MIT License