Replication Data for: Are Indian Cycles Decoupled from Global Cycles? Evidence from a Wavelet-Quantile Approach

This replication package contains all data, code, and pre-computed outputs required to replicate the empirical results in: Padha, Vimarsh and Chaubal, Aditi. "Are Indian Cycles Decoupled from Global Cycles? Evidence from a Wavelet-Quantile Approach." IMF Economic Review (forthcoming). Six estimation modules are provided: (1) Stata 17 - PCA-based Global Financial Cycle Index (GFCy) construction; (2) EViews 12 - Toda-Yamamoto long-run causality; (3) R 4.3 - Wavelet Coherence and Quantile Coherence; (4) R 4.3 - Quantile ADF/PP unit root tests and Wavelet Nonparametric Quantile Causality; (5) MATLAB R2021a - Multiple and Partial Wavelet Coherence, Phase and Gain; (6) R 4.3 - Bivariate Wavelet Coherence. See README.pdf for full replication instructions. Also deposited at Harvard Dataverse: https://doi.org/10.7910/DVN/ETZMIS