Data for: Mixed Frequency GVAR analysis of macro-uncertainty and financial stress spillovers in the Eurozone
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资源简介：
This is the code to replicate the analysis in the paper "Mixed Frequency GVAR analysis of macro-uncertainty and financial stress spillovers in the Eurozone"
by Andrea Cipollini and Ieva Mikaliunaite.
# CLIFS.txt contains the Country-level index of financial stress from ECB database
# GDP_uncertainty.txt contains GDP growth uncertainty index, by Rossi and Sekhposyan (2017)
# weights_trade.txt contains the trade weights from BIS.
# The file Rstudio_code replicate the results for full sample MF-GVAR model,
in Tables 3-6 (Panels A, Full sample, h=4).
# Please choose a working directory using setwd("set working directory")
创建时间：
2019-11-28
