- – Hence, the final sample of equity flows contains 65 countries with start dates ranging from the last week of October 2000 to the last week of July 2006.
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- • In order to have a continuous time series of data (which is required by our empirical approach), we drop all countries that have a missing value between the first week of January 2007 and the last week of December 2014 (8 years): – This leaves 71 countries/regional aggregates in the sample. • From this set of countries/regional aggregates, we eliminate (i) all regional aggregates, (ii) all observations before the first missing observation in each country, and (iii) Saudi Arabia (where equity flow dynamics during our sample period contain strong outliers).
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- • In order to have a continuous time series of data (which is required by our empirical approach), we drop all countries/regional aggregates that have a missing value between the first week of January 2007 and the last week of December 2014 (8 years): – This leaves 71 countries/regional aggregates in the sample. • From this set of countries/regional aggregates, we eliminate (i) all regional aggregates, and (ii) all observations before the first missing observation in each country.
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- We follow Benati (2014) for the presentation of the prior distributions and the simulation of the posterior distribution. C.1 Prior Distributions The model has two sets of time-varying coefficients, the αts and the bij,ts, as well as a stochastic volatility model for the diagonal elements of Ht (i.e., the hi,ts).
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- Wu, J. C. and Xia, F. D. (2015). Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound. Journal of Money, Credit, and Banking, forthcoming. Appendices A Dataset Construction This appendix provides a summary of the steps required to construct our sample of equity and bond capital flows based on the EPFR database. In general, data availability is determined by the EPFR data and differs between equity and bond flows.
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