Replication archive for "Sectoral R&D Intensity and the Transmission of US Monetary Shocks in Emerging Markets"

This archive contains the data and outputs accompanying the paper "Sectoral R&D Intensity and the Transmission of US Monetary Shocks in Emerging Markets." The paper estimates sector-country-quarter local projections of real value added on Bauer–Swanson (2023) high-frequency US monetary policy surprises, interacted with a four-quarter-lagged R&D intensity moderator, across thirteen emerging markets over 2005Q1–2024Q4. The preferred specification uses eight countries with authentic national-accounts quarterly sectoral value added (Brazil, Chile, Czechia, Hungary, Mexico, Poland, Saudi Arabia, Turkey). Contents: Harmonised sector-country-quarter estimation panel (NACE Rev. 2 / ISIC Rev. 4 A10 aggregation) Bartik-imputed sectoral R&D intensity for the eight non-ANBERD countries Bartik validation exercise (actual vs AE-implied sectoral BERD shares for the five ANBERD-direct countries) Variance decomposition of log R&D intensity (between-sector vs within-sector) Damodaran country risk premia, raw annual and quarterly-interpolated Constructed macro controls All local-projection coefficient paths reported in the manuscript and the additional robustness specifications referenced in the Section 5.6 footnote Figures (PNG and PDF) README documenting file structure and primary data sources Estimation code will be added to the archive in final form upon acceptance of the paper. Primary data sources include Eurostat (namq_10_a10), TÜİK, Central Bank of Chile, INEGI, IBGE, GASTAT, OECD ANBERD Rev. 4, OECD MSTI, UN COMTRADE, BIS (LBS, credit gap, REER/NEER), Bauer–Swanson MPS_ORTH, and Damodaran country risk premia.