💥 NEW: Updated vintage of GFC Factor until December 2024
 💥 NEW: UKMPD High frequency event study database for BOE communication events
 💥 COMING SOON: High-frequency event study database for Fed communication events
 💥 COMING SOON: Monthly Utilization-Adjusted TFP for the US

 Jan 2025

C O D E & D A T A

The content of this section is organised per topic. Replication material for individual papers is marked within each topic.

D A T A

 

MONETARY POLICY EVENT-STUDY DATASETS

  1. UKMPD💥

    • Continuously updated collection of monetary policy surprises around Bank of England policy communication events as in Braun, Miranda-Agrippino and Saha (2025), “Measuring Monetary Policy in the UK: The UK Monetary Policy Event-Study Database”

      💾 download

  2. USMPD💥

    • coming soon!

 

INSTRUMENTS FOR MONETARY POLICY SHOCKS

  1. High-frequency

    • Instruments for conventional Fed and BOE monetary policy shocks as in Miranda-Agrippino (2016), “Unsurprising Shocks: Information, Premia, and the Monetary Transmission”

      💾 download

    • Instrument for conventional Fed monetary policy shocks as in Miranda-Agrippino and Ricco (2021), “The Transmission of Monetary Policy Shocks”

      💾 download

    • Instruments for unconventional Fed and ECB monetary policy shocks as in Miranda-Agrippino and Nenova (2022), “A Tale of Two Global Monetary Policies”

      💾 download

  2. Narrative

  • Monthly and quarterly extensions of Fed monetary policy shocks as in Romer and Romer (2024)

    💾 download

 

GLOBAL FINANCIAL CYCLE FACTOR

  1. Original

    • Common factor across world risky asset prices as in Miranda-Agrippino and Rey (2020), “US Monetary Policy and the Global Financial Cycle”

      💾 download

  2. Extensions (same methodology, larger and more up-to-date underlying data)

    • Extension up to April 2019, as in Miranda-Agrippino, Nenova and Rey (2020), “Global Footprints of Monetary Policies”

      💾 download

    • Extension up to December 2024 💥

      💾 download

 

REAL-TIME MIXED-FREQUENCY DATASET FOR THE UK ECONOMY

  • Real-time mixed-frequency dataset for the UK used in Anesti, Galvao & Miranda-Agrippino (2018), “Uncertain Kingdom: Nowcasting GDP and its Revisions”

💾 download

MatLab CODE

 

IMPULSE RESPONSE FUNCTIONS

  1. Proxy SVAR/SVAR-IV

    • Frequentist VAR identified with either Cholesky or Instrumental Variables as in Miranda-Agrippino (2016), “Unsurprising Shocks: Information, Premia, and the Monetary Transmission”

      💾 download

  2. BVAR/BVAR-IV & LP/LP-IV

    • Bayesian VAR with standard NIW priors and Local Projections identified with either Cholesky or IV as in Miranda-Agrippino and Ricco (2021), “The Transmission of Monetary Policy Shocks”

      💾 download

  3. BLP/BLP-IV

    • Bayesian Local Projections identified with either Cholesky or IV as in Ferreira, Miranda-Agrippino and Ricco (2023), “Bayesian Local Projections”

      💾 download

 

FACTOR MODELS

  1. BASICS

    Estimation of factor models under different modelling assumptions. 1) Static and Exact with spherical idiosyncratic variance (PC); 2) Static with diagonal idiosyncratic variance (EM algorithm); 3) Dynamic Factor Model (EM algorithm). The code is associated with the Lecture Slides on Factor Models prepared for a guest lecture at the University of Surrey

    💾 download code

    💾 download lecture slides

  2. DFM with Block Structure

    DFM with loading restrictions for estimation of block-specific factors as in Miranda-Agrippino & Rey (2020), “US Monetary Policy and the Global Financial Cycle”. Due to restrictions on the distribution of asset price data, the demo code reads US macro variables instead

    💾 download code

  3. NOWCASTING WITH DATA REVISIONS: RA-DFM

    Revision-Augmented DFM as in Anesti, Galvao & Miranda-Agrippino (2018), “Uncertain Kingdom: Nowcasting GDP and its Revisions”

💾 download code