Replication Files for “Divergent Effects of Aggregate and Local Uncertainty Shocks: Evidence from US Metropolitan Areas”

These files are the replication files for “Divergent Effects of Aggregate and Local Uncertainty Shocks: Evidence from US Metropolitan Areas.” The Readme file provides instructions for replicating the main results of the paper using the files in the folders. The FAVAR-SVM folder contains MATLAB code and data for the stochastic volatility-in-mean factor-augmented vector autoregression model used to estimate aggregate uncertainty, local (metropolitan statistical area, MSA) uncertainty, and the responses of each MSA to aggregate and local uncertainty shocks. The Stata_crosssection folder includes code and data to estimate how the responses of the MSAs to the shocks depend on various economic factors.