Canevas_donnees_Taylor_Rule_Hormuz

This repository contains the complete data set and estimation code behind the paper "Chokepoint Shocks in Central Bank Reaction Functions: An Augmented Taylor Rule for Oil Supply Disruptions" (Benbouziane, Benghalem, Chibi and Chekouri, submitted to the Journal of International Money and Finance). It reproduces every table and figure in the paper end to end from the underlying panel. The data set is a quarterly and monthly macro-financial panel covering the United States, the euro area and Japan from January 1990 to mid-2026 (146 quarterly and 440 monthly observations per economy), built from public sources: the Federal Reserve Bank of St. Louis (FRED), the US Energy Information Administration, Eurostat and the European Central Bank, the Bank of Japan and Japan's e-Stat, the Federal Reserve Bank of New York (Holston-Laubach-Williams natural rate estimates), the Bank for International Settlements, the World Bank, IMF PortWatch (chokepoint vessel-transit data), and the Caldara-Iacoviello (2022) geopolitical risk index and its oil-related sub-index (GPRT). It includes policy rates, inflation and output-gap measures, oil and energy prices, tanker-transit volumes for six maritime chokepoints (Hormuz, Bab el-Mandeb, Suez, Panama, Malacca, Cape of Good Hope), and geopolitical risk indices, together with a full source-by-source provenance record (URL, retrieval date, and file hash for every series pulled) and a variable-by-variable data dictionary.