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Wu-Xia Shadow Rate paper
Posted: Fri Oct 09, 2015 6:49 am
by aubide
Is there a RATS code to replicate the Wu and Xia (2014) "Measuring the Macroeconomic Impact of Monetary
Policy at the Zero Lower Bound" paper? Many thanks. They have posted a Matlab version but I would prefer to run it in RATS. Thanks a lot.
Re: Wu-Xia Shadow Rate paper
Posted: Fri Oct 09, 2015 8:12 am
by TomDoan
Where have they posted a Matlab version?
Re: Wu-Xia Shadow Rate paper
Posted: Sun Oct 11, 2015 2:31 pm
by aubide
Here
http://faculty.chicagobooth.edu/jing.wu/index.html
under the paper
"Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound"
Angel
Re: Wu-Xia Shadow Rate paper
Posted: Sat Nov 07, 2015 3:06 pm
by aubide
Hi Tom, did you have a chance to look into this?
Re: Wu-Xia Shadow Rate paper
Posted: Mon Nov 09, 2015 12:17 pm
by TomDoan
Yes. The EKF isn't that complicated---the real problem is trying to pull all the data from out of ten different data files. If you want to make a single data file, I can look at that in more detail.