Bernanke & Mihov QJE 1998 replication

[TomDoan]

The attached zip file has the replication files for Bernanke & Mihov(1998), "Measuring Monetary Policy", QJE, vol 113, no 3, 869-902 (monthly data calculations). This includes estimation of structural VAR's, Markov switching estimate of an SVAR and Monte Carlo integration of a just identified SVAR.

[macro_man]

Thanks Tom. This may be in the file already, but I was wondering if there was any code for Figure III (p.899) in the paper which shows the Bernanke-Mihov overall stance of monetary policy indicator? (The bmmonte.prg file says Figure III in it, but produces IRFs not the composite indicator series.)

[TomDoan]

No. That's not in there. Since the Markov switching estimates from the paper seem not to be reproducible, I made no attempt to do anything derived from them.

[hardmann]

Dear Tom:

When I run BMMARKOV.RPF. Markov Switching Model, pp 890-891
p1 is 0, Figure I has no lines.

Best regard
Hardmann

[TomDoan]

The Markov Switching model in that paper seemed to be a throwaway addition that was poorly documented (as is described in the comments). I don't know if we ever figured out a way to get that to work. As it is, ML ends up with basically just a single regime.