This folder contains the codes and data for the estimation of the GVAR model. The codes are based upon the GVAR Toolbox (website: https://sites.google.com/site/gvarmodelling/gvar-toolbox).

In order to run the estimation, please run the file "main.m" in MATLAB. 
This will automatically run the estimation, the bootstrap, the variance decomposition 
and the counterfactual analysis.

Please be patient - the estimation takes time.

The files FigureXX.m generate the corresponding Figures in the paper.

The variance decomposition will be stored in a variable named "fevd".