Stability selection with LAD-LASSO (GitHub project)
Double machine learning application on corporate money demand (GitHub project)
A comprehensive list of economics and financial databases (google sheet)
This periodically updated google sheet introduces economics and financial databases. It contains different columns as pillar of each database including a link to the database, short description, application(s), country, availability of data, a "How to use it!" column to explain how to use the database. It also has a specific sheet to introduce macro events in different countries which are used as exogenous shocks in literature.
Quantified information transferred from interest rate to monetary aggregates (Mendeley data)
This dataset presents the quantified information flow from interest rates to money demand using Rényi transfer entropy. Four monetary aggregates (M1, M1ADJ, NewM1, and Divisia M1) and two opportunity cost measures (3-month Treasury bill, and Divisia user-cost) are considered. The information flows are calculated over short intervals (for the stationary purpose) of length 35, 40, and 45 quarters. This dataset can serve as an indicator of the effectiveness (informativeness) of monetary policy decisions. For the definition of time series and their relevant time spans, please refer to the following paper:
Movaghari, H., Serletis, A., & Sermpinis, G. (2024). Money demand stability: New evidence from transfer entropy. International Economics, 179, 100524. doi: https://doi.org/10.1016/j.inteco.2024.100524