RATS programs to replicate Bjornland-Leitemo(2009) SVAR with short- and long-run restrictions
AbstractReplication file for Bjørnland, Hilde C. and Kai Leitemo (2009), "Identifying the Interdependence between US Monetary Policy and the Stock Market". Journal of Monetary Economics, vol 56, pp 275-282. Demonstrates use of the SHORTANDLONG procedure on a model with five variables, including Monte Carlo integration of the impulse responses.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00016.
Programming language: RATS
Requires: RATS 8.00
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
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Other versions of this item:
- Bjørnland, Hilde C. & Leitemo, Kai, 2009. "Identifying the interdependence between US monetary policy and the stock market," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 275-282, March.
- E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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