Replication Data for: Global Financial Cycle and the Chinese Economy: Asset Price Transmission and Stage-Dependent Monetary and Macroprudential Policies

Description
This repository contains the replication data and code for the paper regarding Global Financial Cycle and the Chinese Economy: Asset Price Transmission and Stage-Dependent Monetary and Macroprudential Policies. The package includes the necessary datasets and scripts to reproduce all empirical results.
The replication package is organized into two main software environments: Stata (for descriptive statistics and unit root tests) and MATLAB (for SVAR, Sign-Restricted SVAR, and TVP-SV-VAR modeling).
1. Software Requirements
Stata: Version 19 or later (Standard StataMP is sufficient; no specialized community packages required).
MATLAB: R2022b or later.
Toolbox Required: Statistics and Machine Learning Toolbox.
External Package: The TVP-VAR package (Nakajima, 2011) must be added to the MATLAB path for the time-varying parameter analysis.
2. Repository Structure and Functionality
The codebase is divided into four distinct modules corresponding to different sections of the paper:
A. Preliminary Analysis (Stata)
Script: replication_stata_appendix.do
Data: data_appendix.dta
Function: Generates Table 1 (Descriptive Statistics) and Appendix Tables A1–A4 and Figures A1–A2 (ADF unit root tests, lag-order selection, and inverse roots checks).
B. Baseline SVAR and Counterfactual Analysis (MATLAB)
Master Script: SVAR_main_reproduce.m
Key Data: China_Macro_Data.xlsx, data_structral_creditspread.xlsx, China_Macro_Data_robust.xlsx, data_quarter.xlsx.
Function: Implements the recursive identification SVAR. By adjusting the Run_Case parameter (1–4) within the script, users can reproduce:
Figure 2 & 3: Baseline IRFs and Counterfactual Analysis (Asset-price channels).
Figure 4 & 5: Subsample analysis (Pre/Post 2015) and SOE-Private Credit Spread extension.
Figure A13 & A14: Robustness checks involving Consumption/Investment and quarterly data.
C. Time-Varying Parameter (TVP-SV-VAR) Analysis (MATLAB)
Master Script: main_reproduce.m
Key Data: data_gfc_mp_rr_2.xlsx, data_gfc_mp_ltv_2.xlsx, data_gfc_mp_ccb_2.xlsx (and robust variants).
Function: Estimates the TVP-VAR model with stochastic volatility. By adjusting the Run_Case parameter (1–7), users can reproduce:
Figures 6–10: Time-varying impulse responses for Quantity vs. Price rules and different macroprudential tools (RR, LTV, CCB).
Appendix Figures: All impulse response robustness checks (VIX substitution, Ordering changes) and MCMC diagnostics (Table A5, Figure A3).
D. Sign-Restricted SVAR (MATLAB)
Script: SignRes_SVAR_reproduce.m
Data: China_Macro_Data.xlsx
Function: Reproduces Figure A15.
3. Data Sources
The datasets provided are processed and analysis-ready. Primary raw data sources include the CEIC Database, CSMAR, and the National Bureau of Statistics of China.
4. Usage Instructions
Detailed step-by-step instructions for running each module are provided in the specific README.txt files included within the downloaded package.