This repository contains the R programs used in the paper "Taylor Rules
and liquidity in financial markets" in its latest iteration. The
MAIN.R file gathers all steps
together from library installation to results plotting. Data are fetched from online sources upon execution of the script, hence results may differ as more observations are added to the database. Data collection programs are available in a separate and independent repository: it outputs an up-to-date database in csv format that can be used with all other softwares.
As of fall 2019 the programs are rather stable, but might undergo revisions according to the publication requirements of the reference paper, which has been submitted in June 2019. As of January 2020 the paper is under revision before resubmitting to the Editor.
This version originates from a richer set of programs and scripts that included inflation persistence analysis, simulations with Matlab/Dynare, and extensive econometric investigation. It has been stripped down to reflect the newer version of the paper. The former more extended version is currently part of my PhD dissertation and available for now solely upon request.