Information transferred from interest rate to monetary aggregates

This dataset presents the quantified information flow from interest rates to money demand using Rényi transfer entropy. Four monetary aggregates (M1, M1ADJ, NewM1, and Divisia M1) and two opportunity cost measures (3-month Treasury bill, and Divisia user-cost) are considered. The information flows are calculated over short intervals (for the stationary purpose) of length 35, 40, and 45 quarters. For the definition of time series and their relevant time spans, please refer to the paper. This dataset can serve as an indicator of the effectiveness of monetary policy decisions.

It would be appreciated if use of the dataset could be acknowledged as follows:

Movaghari, H., Serletis, A. and Sermpinis, G. (2024). Money demand stability: New evidence from transfer entropy, International Economics, .