satyupin / non-fundamentalness-gk-2015-ts

GK2015 Fundamentalness

Matlab code for a series of exercises on informational sufficiency for SVAR. It applies monetary policy surprise series as in Gertler and Karadi (2015) as an external instrument to identify a monetary policy shock, then proceeds to assess whether the underlying SVAR is fundamental using orthogonality tests as in Forni and Gambetti (2014). Then it compares two versions of an SVAR: an original and an informationally sufficient one by computing the impulse-responses and forecast error variance decompositions.

Contents

main.m: Main file to produce most of the results.

\functions: Functions to estimate VAR and IV regressions, compute impulse-responses and other subroutines.

\data: Data for analysis:

• fred_md_012022.csv: series from FRED-MD database used in factor construction.
• GK2015_Data.xlsx: original Gertler and Karadi (2015) data.
• FRED-MD_updated_appendix.csv: an auxiliary file with filenames and transformation codes.