This is the replication code of the paper "Impacts of monetary policy shocks on inflation and output in New Zealand" (Robert Kirkby and Huong Ngoc Vu, 2024).
The paper can be found at: https://onlinelibrary.wiley.com/doi/10.1111/1475-4932.12792
Run master_FunctionalLP.m to replicate all figures in the paper.
Note: Dataset from Refinitiv is not provided.
Some of the code is based on the replication package of Inoue, A. and Rossi, B. (2021), ‘A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy’, Quantitative Economics, 12, 1085–1138.