This package contains the program codes and data files necessary to replicate
the results of the structural analysis in 

Economic Policy Uncertainty in the Euro Area:
Cross-country Spillovers and Macroeconomic Impact
By Volker Clausen, Alexander Schloesser and Christopher Thiem
September 2018

Please cite this paper if you use any of this material for your own research.
Also, please do not redistribute or circulate this package without the author's consent.
The author's contact details can be found below.


The program files are known to be working with MATLAB 2016a distributed by MathWorks (www.mathworks.com).

To run the programs, extract the folder "strucEPU" directly onto the c: drive.


To replicate the Results, follow the procedure described below:

Reproduction of Results in Section 4.2 and Section 1 of the Online Appendix:
	1. 	Run the script ‘BVAR_GIBBS_with_rolling_window_for_constant_sigma’ and set the argument ‘dataset’  to  {france_euro_oo, 		Germany_euro_oo, Italy_euro_oo, set1_oo}. Furthermore, note that line 98 should contain the following statement: ‘window_size= 		linspace(96+p,96+p,1);’.
	2.	Load “Data set name,lag=3,prior=2,stability=1,windowsize=96,ki=90,priormean=1”, where 'Data set name' is {france_euro_oo, 		Germany_euro_oo, Italy_euro_oo, set1_oo}.
	3.	Run the script ‘analyse_rolling_window_constant_sigma’. All corresponding graphs will be saved in the ‘pics\new’ folder.

Reproduction of Results in Section 3 of the Online Appendix:
	1.	Run the script ‘BVAR_GIBBS_with_rolling_window_for_constant_sigma’ and set the argument ‘dataset’  to {france_euro_oo_sr, 		Germany_euro_oo_sr, Italy_euro_oo_sr, set1_oo_sr}. Furthermore, note that line 98 should contain the following statement: 		‘window_size= linspace(96+p,96+p,1);’.
	2.	Load “Data set name,lag=3,prior=2,stability=1,windowsize=96,ki=90,priormean=1”, where 'Data set name' is {france_euro_oo_sr, 		Germany_euro_oo_sr, Italy_euro_oo_sr, set1_oo_sr}.
	3.	Run the script ‘analyse_rolling_window_constant_sigma’. All corresponding graphs will be saved in the ‘pics\new’ folder.

Reproduction of Results in Section 4 of the Online Appendix:
	1.	Run the script ‘BVAR_GIBBS_with_rolling_window’ and set the argument ‘dataset’  to {france_euro_oo, Germany_euro_oo, Italy_euro_oo, 		set1_oo}. Furthermore, note that line 98 should contain the following statement: ‘window_size= linspace(72+p,120+p,1);’.
	2.	Load “Data set name, lag=3, prior=2, stability=1, windowsize=72_120, ki=90, priormean=1”, where 'Data set name' is {france_euro_oo, 		Germany_euro_oo, Italy_euro_oo, set1_oo}.
	3.	Run the script ‘analyse_rolling_window_3D_and_2D_graph’ with the argument ‘window_size_uncertainty = 1’ and ‘oo=1’. All corresponding 		graphs will be saved in the ‘pics’ folder.

Reproduction of Results in Section 5 of the Online Appendix:
	1.	Run the script ‘BVAR_GIBBS_with_rolling_window’ and set the argument ‘dataset’  to {france_euro_oo, Germany_euro_oo, Italy_euro_oo, 		set1_oo}. Furthermore, note that line 98 should contain the following statement: ‘window_size= linspace(96+p,96+p,1);’.
	2.	Load “Data set name,lag=3,prior=2,stability=1,windowsize=96,ki=90,priormean=1”, where 'Data set name' is {france_euro_oo, 		Germany_euro_oo, Italy_euro_oo, set1_oo}.
	3.	Run the script ‘analyse_rolling_window_3D_and_2D_graph’ with the argument ‘window_size_uncertainty = 0’ and ‘oo=1’. All corresponding 		graphs will be saved in the ‘pics’ folder.



Please direct any inquiries to:

Alexander Schlösser
University of Duisburg-Essen
Universitaetsstr. 12
45117 Essen, Germany

E-Mail: alexander.schloesser@vwl.uni-due.de