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DESCRIPTION
This file describes the data files and transformations used in the empirical VARs in 
the "Monte Carlo" section of the paper as well as the "Empirical Application" in the "Online Appendix".
All files can be found in the "Data" folder.

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Data from the Gertler and Karadi empirical application same data used in Ramey (2016) handbook chapter
"Macroeconomic Shocks and Their Propagation" (link to paper: https://www.sciencedirect.com/science/article/pii/S1574004816000045). 
The excel files can be found in the "Data" folder and can also be downloaded from  Ramey's repository link: 
https://econweb.ucsd.edu/~vramey/research/Ramey_HOM_monetary.zipDATES

Gertler and Karadi (2015) Data (can be found in the GKData.csv)

LIP         log of industrial production
LCPI        log of CPI
MP1_TC      Gertler-Karadi monthly shocks, current futures
FF4_TC      Gertler-Karadi monthly shocks, fed funds futures 3 months from now
GS1         One-year government tbill rate
EBP         Gilchrist-Zakrajsek spread






Data used for the Technology VAR Monte Carlos are the same data used in Ramey (2016) handbook chapter
"Macroeconomic Shocks and Their Propagation". The excel files can be found in the "Data" folder and can also be downloaded from  
Ramey's repository link: https://econweb.ucsd.edu/~vramey/research/Ramey_HOM_technology.zip


Original Technology VAR Monte Carlo Data (can be found in the Technology_VAR_Data.csv)
			
ngdp	    nominal GDP		
rgdp	    real GDP		
pgdp	    GDP deflator		
ltfp_util   log TFP - utilization adjusted, Fernald series		
pop	    total population		
stockp_sh   stock prices, from Shiller		


	
Transformed Data in Technology Shock Data MC.mat file (Technology_VAR_Data_Transformation.m will do the transformations from the original data)

realgdppercapitagrowth             real GDP per capita growth is the first difference of log(rgdp/pop)
realstockpricespercapitagrowth     real stock prices per capita growth is the first difference of log(stockp_sh/pgdp*pop)
laborproductivitygrowth            labor productivity growth is the first difference of log(rgdp/tothours)
techshockgrowth                    Fernald’s (2014) utilization-adjusted TFP growth is the first difference of ltfp_util
		





Data used for the Fiscal VAR Monte Carlos are the same series used in Ramey (2019) "Ten Years After the Financial Crisis: 
What Have We Learned from the Renaissance in Fiscal Research?", but are a more recent vintage. The data is from the 12-22-2020 vintage and can 
be found on alfred.stlouisfed.org.


Original Fiscal VAR Monte Carlo Data (can be found in the Fiscal_VAR_Data.csv)

ngov        nominal government purchases, post-1947 is FRED series GCE
pgdp	    GDP implicit price deflator, post-1947 is FRED series GDPDEF
ngdp	    nominal GDP, post-1947 sample is FRED series GDP
pop	    total population all ages, including armed forces overseas, FRED series POP


Transformed Data in Fiscal Policy Data MC.mat file (Fiscal_VAR_Data_Transformation.m will do the transformations from the original data)

RGDPPCGrowth                       real GDP per capita growth is the first difference of log(ngdp/pop*pgdp)
RSpendPCGrowth                     real spending per capita growth is the first difference of log(ngov/pop*pgdp)
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