Chapter 3. The Monetary Model

  1. The Data. This is a zipped file that contains quarterly stock returns and the dividend yield for the US, and spot exchange rates, consumer price indices, industrial production, and money for a number of industrialized countries.
  2. MONMDL.PG4. This program does the MacDonald-Taylor test of the monetary model.
  3. This program does the panel long-horizon regression and out-of-sample forecasts (written by Donggyu Sul).