Wealth, cost, and misperception: Empirical estimation of three interaction channels in a financial-macroeconomic agent-based model

This repository contains the data for "Wealth, cost, and misperception: Empirical estimation of three interaction channels in a financial-macroeconomic agent-based model", ssrn.com/abstract=4709540, by Jiri Kukacka and Eric Zila.

Requirements

To download the content of the repository and move to the root directory, run:

git clone git@github.com:jirikukacka/Kukacka_Zila_Integrated_ABM.git
cd Kukacka_Zila_Integrated_ABM/

Alternatively, for a convenient download of the data, click "Code" (green button) and "Download ZIP".

Data

Empirical data used for empirical estimation are located in the data/ folder. The data are available in both CSV (human-readable) and JLD (encoded) formats.

Daily financial data track the performance of the S&P 500 index between 31/12/1953 and 23/11/2022.

Quarterly macroeconomic data for the United States cover the period from 1954:Q3 until 2022:Q2. To calculate the output gap, the one-sided Hodrick-Prescott filter is used with $\lambda = 1,600$ (Data_US_all_272), $\lambda = 18,736$ (Data_US_all_272_DT_18736), and $\lambda = 12,016$ (Data_US_all_272_ST_12016).