End-to-End Python replication of Camara & Aublin's (2025) monetary spillover analysis methodology. Implements rotational-angle decomposition, Bayesian VAR with Normal-Wishart priors, sign restrictions for shock identification, and a full robustness suite for international macroeconomic analysis.
python time-series reproducible-research jupyter-notebook pandas econometrics mcmc financial-data bayesian-statistics vector-autoregression central-banking monetary-policy academic-research international-economics high-frequency-data robustness-testing local-projections macroeconomic-modeling shock-identification spillover-analysis
-
Updated
Sep 19, 2025 - Jupyter Notebook