This dataset contains the data, replication files, and analytical instructions required to reproduce the empirical results presented in the associated study. The repository includes the datasets and RStudio/Stata code used to generate the Wavelet Coherence, Partial Wavelet Coherence, Wavelet Power Spectrum, Time-Varying Granger Causality, and Local Projection analyses.
The materials cover the main figures and tables as well as the supplementary and appendix results.
For the wavelet-based analyses, the repository contains the underlying Excel data files and RStudio instructions for the Wavelet Power Spectrum, Wavelet Coherence, Partial Wavelet Coherence, and country-level Wavelet Coherence analyses. The country-level analyses include data for China, Qatar, Norway, Colombia, Malaysia, and Egypt.
The repository also includes Stata do-files and output data for the Time-Varying Granger Causality and Local Projection analyses.