the first version is out!

2024-08-bsvars-w4UKR.Rproj

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+Version: 1.0
+
+RestoreWorkspace: Default
+SaveWorkspace: Default
+AlwaysSaveHistory: Default
+
+EnableCodeIndexing: Yes
+UseSpacesForTab: Yes
+NumSpacesForTab: 2
+Encoding: UTF-8
+
+RnwWeave: knitr
+LaTeX: pdfLaTeX

empiRical/aus_empirical.R

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+
+# soe00: idUR-SVAR-SV
+#################################################
+
+model = "00"
+
+library(bsvars)
+load("empiRical/data/soe.rda")
+
+TT            = nrow(soe)
+lag_order     = 8
+lag_exogenous = 4
+T             = TT - max(lag_order, lag_exogenous)
+
+# exogenous     = matrix(NA, TT - lag_exogenous, 0)
+# for (i in 0:lag_exogenous) {
+#   exogenous   = cbind(exogenous, as.matrix(soe[(lag_exogenous - i + 1):(TT - i), 6:8]))
+# }
+
+set.seed(1234)
+spec          = specify_bsvar$new(
+  # data        = as.matrix(tail(soe[,1:5], T)),
+  data        = as.matrix(soe[,1:8]),
+  p           = lag_order,
+  # exogenous   = tail(exogenous, T)
+)
+
+burn          = estimate(spec, 1e3)
+post          = estimate(burn, 5e3)
+
+irfs          = compute_impulse_responses(post, horizon = 60)
+plot(irfs)
+# fevd          = compute_variance_decompositions(post, horizon = 60)
+
+# save(spec, post, file = paste0("results/soe", model, ".rda"))

empiRical/data/data.R

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+
+# download the small-open economy data from the FRED database
+# based on Groshenny, Javed (2023, WP)
+############################################################
+
+create_interpolated_series <- function(data, start_date, end_date) {
+  # function to interpolate quarterly to monthly data
+  # start_date and end_date need to be given as a character with format "YYYY-MM-DD"
+
+  # data object to merge by data all time series
+  df <- data.frame(date = seq(as.Date(start_date), as.Date(end_date), by = "months"))
+  df <- dplyr::left_join(df, data, by = "date")  
+  ## interpolate GDP series
+  # first shift GDP series such that Q1 is assigned to March etc
+  df$X   = c(rep(NA,2), df$value[1:(length(df$value) - 2)])
+  # now interpolate, taking into account leading and trailing NA values
+  df <- dplyr::mutate(df, value_out = c(rep(NA, min(which(!is.na(df$X))) - 1),
+                                      zoo::na.approx(df$X),
+                                      rep(NA, length(df$date) - max(which(!is.na(df$X))))
+                        )
+                      )
+  df <- dplyr::select(df, c(date, value_out))
+  df
+}
+
+############################################################
+# to set
+start_date = "1950-01-01"
+end_date   = "2024-07-27"
+
+
+
+# US data
+############################################################
+# QUARTERLY
+# real gdp
+gdp       = fredr::fredr("GDPC1")
+df_gdp    = create_interpolated_series(gdp, start_date, end_date)
+gdp       = xts::xts(df_gdp$value_out / 1000, df_gdp$date, tclass = 'yearmon')
+gdp       = xts::to.monthly(gdp, OHLC = FALSE, drop.time = TRUE)
+gdp       = 100 * log(gdp)
+# dgdp      = na.omit(12 * diff(gdp))
+rm(df_gdp)
+plot(gdp)
+
+# Consumer Price Index: All Items for the United States
+cpi       = fredr::fredr("USACPIALLMINMEI")
+cpi       = xts::xts(cpi$value, cpi$date, tclass = 'yearmon')
+cpi       = 100 * log(cpi)
+# pi        = na.omit(12 * diff(cpi))
+plot(cpi)
+
+# Federal Funds Effective Rate
+FFR       = fredr::fredr("FEDFUNDS")
+FFR       = xts::xts(FFR$value, FFR$date, tclass = 'yearmon')
+plot(FFR)
+
+
+# Australian data
+############################################################
+
+aud_mb = readrba::read_rba(series_id = "DMABMN")
+aud_mb    = xts::xts(log(aud_mb$value), aud_mb$date, tclass = 'yearmon')
+aud_mb    = xts::to.monthly(aud_mb, OHLC = FALSE, drop.time = TRUE)
+plot(aud_mb)
+
+aud_hw = readrba::read_rba(series_id = "GLFMHW")
+aud_hw    = xts::xts(log(aud_hw$value), aud_hw$date, tclass = 'yearmon')
+aud_hw    = xts::to.monthly(aud_hw, OHLC = FALSE, drop.time = TRUE)
+plot(aud_hw)
+
+
+# QUARTERLY
+# Real Gross Domestic Product for Australia (Domestic Currency, Seasonally Adjusted)
+aud_gdp   = fredr::fredr("NGDPRSAXDCAUQ")
+df_au_gdp = create_interpolated_series(aud_gdp, start_date, end_date)
+aud_gdp   = na.omit(xts::xts(df_au_gdp$value / 1000, df_au_gdp$date, tclass = 'yearmon'))
+aud_gdp   = xts::to.monthly(aud_gdp, OHLC = FALSE, drop.time = TRUE)
+aud_gdp   = 100 * log(aud_gdp)
+rm(df_au_gdp)
+plot(aud_gdp)
+
+# QUARTERLY and MONTHLY
+# Quarterly CPI from FRED
+aud_cpi   = fredr::fredr("AUSCPIALLQINMEI")
+df_au_cpi = create_interpolated_series(aud_cpi, start_date, end_date)
+aud_cpi_fr   = xts::xts(df_au_cpi$value_out, df_au_cpi$date, tclass = 'yearmon')
+colnames(aud_cpi_fr) = "aud_cpi"
+aud_cpi_fr = na.omit(aud_cpi_fr$aud_cpi /as.numeric(aud_cpi_fr$aud_cpi["2017-09"]))
+
+# Monthly CPI from ABS
+aud_cpi_mont = readabs::read_abs(series_id = "A128478317T")
+aud_cpi_mont = xts::xts(aud_cpi_mont$value, aud_cpi_mont$date, tclass = 'yearmon')
+aud_cpi_mont = aud_cpi_mont/as.numeric(aud_cpi_mont["2017-10"])
+
+# merge
+aud_cpi   = rbind(aud_cpi_fr["/2017-08"], aud_cpi_mont)
+aud_cpi   = xts::to.monthly(aud_cpi, OHLC = FALSE, drop.time = TRUE)
+aud_cpi   = 100 * log(aud_cpi)
+plot(aud_cpi)
+
+# 3-Month or 90-day Rates and Yields: Interbank Rates for Australia (Percent, Not Seasonally Adjusted) 
+aud_IR    = fredr::fredr("IR3TIB01AUM156N")
+aud_IR    = xts::xts(aud_IR$value, aud_IR$date, tclass = 'yearmon')
+plot(aud_IR)
+
+# cash rate
+aud_CR    = readrba::read_rba(series_id = "FIRMMCRT")   # Cash Rate Target
+aud_CR    = xts::xts(aud_CR$value, aud_CR$date, tclass = 'yearmon')
+aud_CR    = xts::to.monthly(aud_CR, OHLC = FALSE, drop.time = TRUE)
+plot(aud_CR)
+
+# TS
+aud_LTR   = readrba::read_rba(series_id = "FCMYGBAG10")
+aud_LTR   = xts::xts(aud_LTR$value, aud_LTR$date, tclass = 'yearmon')
+aud_LTR   = xts::to.monthly(aud_LTR, OHLC = FALSE, drop.time = TRUE)
+aud_TS    = na.omit(aud_LTR - aud_IR)
+colnames(aud_TS) = "aud_TS"
+
+# exchange rate
+aud_USD   = readrba::read_rba(series_id = "FXRUSD")
+aud_USD   = xts::xts(aud_USD$value, aud_USD$date, tclass = 'yearmon')
+aud_USD   = xts::to.monthly(aud_USD, OHLC = FALSE, drop.time = TRUE)
+plot(aud_USD)
+
+aord_yahoo        = "https://query1.finance.yahoo.com/v7/finance/download/^AORD?period1=345513600&period2=1722211200&interval=1d&events=history&includeAdjustedClose=true"
+aord_download     = read.csv(aord_yahoo, na.strings = "null")
+aord_tmp          = xts::xts(log(aord_download[,6]), as.Date(aord_download[,1]))
+aord_tmp          = na.omit(aord_tmp)
+aud_aord          = xts::to.monthly(aord_tmp, OHLC = FALSE, drop.time = TRUE)
+plot(aud_aord)
+
+us = na.omit(merge(gdp, cpi, FFR))
+aud = na.omit(merge(aud_gdp, aud_cpi, aud_CR, aud_USD, aud_aord))
+soe = na.omit(merge(aud, us))
+save(soe, file = "empiRical/data/soe.rda")