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"Evaluating the Macroeconomic Effects of the ECBs Unconventional Monetary Policy "

By Sarah Mouabbi and Jean-Guillaume Sahuc
 
Journal of Money, Credit and Banking

Database and programs

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1) Database


	A) Euro area

	Almost all the series were extracted from from the ECB Statistical Database Warehouse, except the working age population (OECD Economic Outlook). Data span from 1998Q4 to 2017Q2 for the raw data.

	Below we report the list of the series used and their transformations.

	************ea_raw_data.csv*******************

	NAME            DESCRIPTION 	


	YER	  :	Real GDP  	
	YED	  :	GDP deflator
	Core HICP :     Core HICP (excluding foods and energy)
	PCR	  :	Real private consumption
	ITR	  :	Real gross investment 
	WRN	  :	Nominal wage per head
	EONIA	  :	Eonia rate
	SR1	  :	Shadow rate from Kortela (2016, Bank of Finland)
	SR2	  :	Shadow rate from Lemke and Vladu (2016, ECB)
	SR3	  :	Shadow rate from Wu and Xia (2016, JMCB)
	POP	  :	working age population
	Hours	  :	Hours worked


	***********euro_data_17Q2.mat***************

	NAME            	DESCRIPTION

	dyobs		:	first difference of 100*ln(YER/POP)
	dcobs		:	first difference of 100*ln(PCR/POP)
	dxobs		:	first difference of 100*ln((ITR/POP)
	dwobs		:	first difference of 100*ln(WRN/YED)
	dhoursobs	:	first difference of 100*ln(Hours)
	inflobs		:	first difference of 100*ln(Core HICP)
	robs		:	EONIA/4
	srobs		:	SR1/4
	srobs2		:	SR2/4
	srobs3		:	SR3/4


	***********figure_A1_database.csv***************
	Contains the series displayed on Figure A1, from 2008 to 2017:

	Model implied shadow rate	
	Deposits with agreed maturity, households (HH)	
	Loans to Non Financial Corporations, over 5 years	
	Government Bond 3 months	
	Goldman Sachs Financial Conditions Indicator



	B) United States

	All the series were extracted from the FRED database. Data span from 1998Q4 to 2017Q2 for the raw data.

	************us_raw_data.csv*******************

	NAME            DESCRIPTION 	


	GDPC96	  	:	Real GDP  	
	GDPDEF	  	:	GDP deflator
	JCXFE  		:       Core PCE
	PCEC	  	:	Private consumption
	FPI	  	:	Gross investment 
	PRS85006103	:	Index/Level and Pay and Benefits : Nonfarm Business
	FEDFUNDS	:	Federal funds rate
	SR	  	:	Shadow rate from Wu and Xia (2016, JMCB)
	CE16OV	  	:	Civilian employment
	LNU00000000Q 	: 	Civilian non-institutional population
	PRS85006023	:	Nonfarm Business Sector: Average Weekly Hours


	***********us_data_17Q2.mat***************

	NAME            	DESCRIPTION

	dyobs		:	first difference of 100*ln(GDPC96/LNU00000000Q)
	dcobs		:	first difference of 100*ln(PCR/(GDPDEF*LNU00000000Q))
	dxobs		:	first difference of 100*ln((ITR/(GDPDEF*LNU00000000Q))
	dwobs		:	first difference of 100*ln(PRS85006103/GDPDEF)
	hoursobs	:	100*ln(CE16OV*PRS85006023/(100*LNU00000000Q))
	inflobs		:	first difference of 100*ln(JCXFE)
	robs		:	FEDFUNDS/4
	srobs1		:	SR/4



2) Programs


dsge_shadow_ea_9917.mod : Dynare mode file with the log-linearized euro area model (logarithmic utility specification) to launch the estimation (and shock decompositions), 1999-2017 sample.

dsge_shadow_ea_9907.mod : Dynare mode file with the log-linearized euro area model (logarithmic utility specification) to launch the estimation, 1999-2007 subsample.

dsge_shadow_ea_9917_ces.mod : Dynare mode file with the log-linearized euro area model (CES utility specification) to launch the estimation, 1999-2017 sample.

dsge_shadow_us_9917.mod : Dynare mode file with the log-linearized US model (logarithmic utility specification) to launch the estimation, 1999-2017 sample.

dsge_shadow_count_figure.mod : Dynare file for the counterfactual exercice and the construction of Figures

dsge_shadow_ea_9917_irf_simul.mod : Dynare file computing and saving the variables' paths after a monetary policy shock

mp_shock_irfs.m : Matlab file for the construction of IRFs for the 1999-2007 and 1999-2017 samples





