This package replicates the paper Alloza, Gonzalo and Sanz (2024). “Dynamic Effects of Persistent Shocks”. Journal of Applied Econometrics.
Contact details: Mario Alloza (m.alloza@bde.es), Jesús Gonzalo (jesus.gonzalo@uc3m.es) and Carlos Sanz (carlossanz@bde.es).
The replication files are provided in two folders: DATA.zip and CODE.zip. All files should be placed in the same folder.
Description of files contained in this replication package:
• Fig_1_2.m: Matlab program producing Figures 1 and 2 in the paper. This file and others below require the installation of the Matlab Econometrics toolbox.
*OUTPUT: Figure 1.eps and Figure 2.eps.
• Fig_3_4_5_6_D3.m: Matlab program producing Figures 3, 4, 5, 6 and Appendix Figure D3.
DATA FILE: This program requires the data file RZDAT.xlsx to be placed in the same folder. This is the original data from Ramey and Zubairy (2018), kindly provided by the authors in this link.
AUXILIARY FILES: This program requires auxiliary files nwest.m (by James P. LeSage), ciplot.m (by Raymond Reynolds) and hline.m (Brandon Kuczenski) auxiliary files to be placed in the same folder.
*OUTPUT: Figure 3.eps, Figure 4.eps, Figure 5.eps, Figure 6.eps and Figure D3.eps.
• Fig_7_D4.m: Matlab program producing Figure 7 and Appendix Figure D4.
DATA FILE: This program requires the data file RZDAT.xlsx to be placed in the same folder. This is the original data from Ramey and Zubairy (2018), kindly provided by the authors in this link.
AUXILIARY FILES: This program requires the previous auxiliary files nwest.m, ciplot.m and hline.m.
*OUTPUT: Figure 7 and Figure D4.eps.
• Fig_B1_B2_B4.m: Matlab program producing Appendix Figures B1, B2 and B4.
*OUTPUT: Figure B1.eps, Figure B2.eps and Figure B4.eps.
• Fig_B3.m: Matlab program producing Appendix Figure B3.
This program requires the data file RZdata.mat to be placed in the same folder. This is the Matlab version of the Ramey-Zubairy news variable.
OUTPUT: Figure B3.eps.
• Fig_C1_C2_data.do and Fig_C1_C2_graphs.m: these are the Stata and Matlab programs required to produce Appendix Figures C1 and C2.
DATA FILE: Fig_C1_C2_data.do requires the original Guajardo, Leigh and Pescatori (2014) data (GLPdata.dta) to be placed in the same folder. This data is kindly provided by the authors in this link.
INTERMEDIATE OUTPUT: Fig_C1_C2_data.do produces and excel file named GLP_responses.xlsx.
Fig_C1_C2_graphs.m reads GLP_responses.xlsx and produces Appendix Figures C1 and C2. This requires the previous auxiliary files ciplot.m and hline.m
OUTPUT: Figure C1.eps and Figure C2.eps.
• Fig_C3.m: Matlab program producing Appendix Figure C3.
DATA FILE: This program requires the data file RRdata.xlsx to be placed in the same folder. This is a reduced version of the original data from Romer and Romer (2010), kindly provided by the authors in this link.
AUXILIARY FILES: This program requires the previous auxiliary files nwest.m, ciplot.m and hline.m to be placed in the same folder.
*OUTPUT: Figure C3.eps.
• Fig_D1_D2.m: Matlab program producing Appendix Figures D1 and D2.
DATA FILE: This program requires the data file Fig_D1_data to be placed in the same folder. This contains the previous shocks variables mentioned above and detailed in the paper.
AUXILIARY FILES: This program requires the previous auxiliary files ciplot.m, hline.m and Fig_D1_do_correlograms.m to be placed in the same folder.
*OUTPUT: Figure D1.eps (6 subpanels) and Figure D2.eps (6 subpanels).
• Table_1_D1.do: Stata program producing the content of Table 1 and Appendix Table D1.
DATA FILE: This program requires the data file Fig_D1_data, GLPdata.dta and ARSdata.dta (the original file from Arezki, Ramey and Sheng (2017), kindly provided by the authors here) to be placed in the same folder.
AUXILIARY FILES: This program requires installing the Stata command “actest”. Type “ssc install actest” in the command window to install it.
*OUTPUT: Content of all 8 rows of Table 1 and Appendix Table D1 displayed as output.
Code produced using Matlab 2023a (MacOS version) and Stata 14 (MacOS version).
