This post provides the online appendix for the paper titled "Monetary policy response or economic integration: what drives international monetary policy spillovers ?" by Peeters, B., Girard, A. and Gnabo, J.-Y. (2021). These appendices are additional materials that corroborate the arguments developed in the paper.
PDF FILE: ONLINE APPENDIX
Structure of the online appendix:
- C.1 Details on data and samples
- C.2 Complements on the spatial weighting matrix
- C.3 Time-varying common trend and variance in presence of
structural changes - C.4 Links spillovers/sensitiveness and singularity/influence
- C.5 Complements on the LKSR estimation procedure
- C.6 Complements on robustness analyses
- C.7 Complements on the estimations with two matrices
ADITIONAL USEFUL LINKS:
- post on the dataset on monetary policy interest rates used in the paper
- post on the R code used in the paper to perform time-varying spatial regression analyses