Replication Data and Code for: In-between Transatlantic (Monetary) Disturbances: The Case of Canada

The data and programs replicate tables and figures from "In-between Transatlantic (Monetary) Disturbances: The Case of Canada" by Aublin and Camara. Please see the ReadMe file for additional details.

The main dataset used in this study is a monthly panel combining macroeconomic, financial, and high-frequency monetary policy information for Canada, the United States, and the Euro Area.

The dataset is constructed by merging publicly available data from multiple sources, including the Large Canadian Database for Macroeconomic Analysis (LCDMA), FRED, Eurostat, the IMF, and high-frequency monetary policy shock series. All variables are transformed and aligned to a common monthly frequency.