Risk Matters: The Real Effects of Volatility Shocks: Comment (AER 2014)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Benjamin Born, Johannes Pfeifer Risk Matters: The Real Effects of Volatility Shocks: Comment AER 2014 12 4231-39 E13, E20, E32, E43, F32, F43, O11 Interest rate risk, Stochastic volatility

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
1 - accessible on journal website 1 - accessible on journal website 1 - accessible on journal website Particle Filter (Sequential Monte Carlo Methods), 3rd order perturbation, Simulated Method of Moments, code changes published in online appendix Macro, Time series National Accounts Data, JP Morgan EMBI, available from AER homepage for original study, cf. https://sites.google.com/site/pfeiferecon/20140525_replication_codes.zip?attredirects=0 - Dynare, MATLAB

This article is a replication of

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Jesús Fernández-Villaverde, Pablo Guerrón-Quintana, Juan F. Rubio-Ramírez, Martin Uribe Risk Matters: The Real Effects of Volatility Shocks AER 2011 6 2530-61 E13, E20, E32, E43, F32, F43, O11 - 1 - narrow sense (same data, same code) 2 - different results 1 - somewhat available but insufficient to replicate final dataset 1 - yes -

References

DOI: 10.1257/aer.104.12.4231 IDEAS: a/aea/aecrev/v101y2011i6p2530-61.html EconPapers: RePEc:aea:aecrev:v:101:y:2011:i:6:p:2530-61


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