//      Fasani, Mumtaz, Rossi
//      "Monetary Policy Uncertainty and Firm Dynamics"
//      Review of Economic Dynamics, 2022
//      replication code

This folder contains the MATLAB files to replicate the paper "Monetary Policy Uncertainty and Firm Dynamics"
by Fasani, Mumtaz, Rossi. Please notice that we construct the instrument to identify monetary policy
shocks in the FAVAR analysis using not-publicly available data. Although the series of the instrument is uploaded 
in the folder, we are not allowed to share the original series from which we constructed the instrument.

In detail, our instrument is the regression residual of the daily conditional volatility of 1-month ahead 
options on 1-year interest rate swaps taken by Carlston and Ochoa (2016), over three monetary policy surprises 
on FOMC meeting days taken by Rogers et al. (2018). We thank Marcelo Ochoa and John Rogers for sharing the data on 
respectively, the swaptions volatility and the three measures of monetary policy surprises.

In the folders "DSGE" and "FAVAR", there are already stored the results in .mat files. Please follow the instructions below to replicate 
the figures in the paper. To run FAVAR and DSGE estimation instead of using stored results, the expected run time 
is approximately 24 hours for each estimation when using a 12-cores PC.

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
FAVAR analysis

Go to code\FAVAR\Figure2 and run in order
1) getdata.m
2) estimate.m

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
                            Figure 1

copy code\FAVAR\Figure2\results\results.mat and paste it 
in code\FAVAR\Figure1\results
 
Go to code\FAVAR\Figure1 and run
1) toget_figure1.m

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
                            Figure 2

Go to code\FAVAR\Figure2 and run in order
1) getirfs.m
2) toget_figure2.m

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
                             Figure 3

a) copy code\FAVAR\Figure2\results\results.mat and paste it 
in code\FAVAR\Figure3\results

b) copy code\FAVAR\Figure2\results\priors.mat and paste it 
in code\FAVAR\Figure3\results
 
Go to code\FAVAR\Figure3 and run in order
1) getcounterfacturalirf.m
2) toget_figure3.m


%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
DSGE analysis

Go to code\FAVAR\Figure2 and run in order
1) getdata.m
2) estimate.m
3) getirfs.m
4) toget_figure2.m

copy code\FAVAR\Figure2\results\irfdata_12periods.mat and paste it 
a) in code\DSGE\DSGE Estimation\baseline_estimation\data
b) in code\DSGE\DSGE Estimation\no_firms_estimation\data
c) in code\DSGE\DSGE Simulation\data

copy code\FAVAR\Figure2\results\irfdata_12periods_firm.mat and paste it
in code\DSGE\DSGE Simulation\data

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
                            Figure 4

Go to code\DSGE\DSGE Simulation and run in order
1) tosimulate
2) toget_figure4.m

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
                            Figure 10 (appendix) and 11 (appendix)

Go to code\DSGE\DSGE Simulation and run
1) tosimulate
2) toget_figure10_11_appendix.m