Replication Package for Financial Conditions and US Industrial Production after Oil Shocks

This version supports the revised manuscript “Financial Conditions and US Industrial Production after Oil Shocks.” It combines the original Round 6 replication archive with the Round 12 conditional sensitivity and multiple-testing addendum. The original archive, oil_shocks_replication_archive_round6.zip, contains the notebooks, executable code, cached source data, numerical results, figures, and documentation for the baseline and financial VAR models, asymmetric WTI specifications, rolling estimates, subsample comparisons, and structural oil-market shocks with downstream HAC local projections. The retained source vintage and original estimates are unchanged. Replication_Addendum_Round12.zip contains code, frozen input tables, and complete results for alternative downstream lag lengths, an alternative first-stage VAR lag length, and a sample ending in December 2019. It also reports Holm adjustments within each 25-horizon response path and across all 225 baseline coefficients. The addendum verifies the archived baseline estimates before producing the additional results. Its five specifications contain 1,125 shock-response-horizon coefficients. Figure_concordance_round6_to_round12.csv maps the revised manuscript’s figure numbering to the original replication archive. These are disclosed post hoc sensitivity checks. Inference remains conditional on estimated shocks and does not propagate first-stage shock-estimation uncertainty. The analysis does not identify a mediated financial effect, and non-rejection after multiplicity adjustment does not establish that economic effects are zero. Follow the README instructions in each archive to reproduce the corresponding analyses. Cached inputs permit offline replication without API credentials. Data sources include FRED, the U.S. Energy Information Administration, and the Federal Reserve Bank of Dallas. Bundled source data remain subject to their original providers’ terms. The original Round 6 release remains available at https://doi.org/10.5281/zenodo.21934354.