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vfci

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VFCI / vfci

Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”

r volatility asset-pricing macroeconomics vector-autoregression monetary-policy heteroskedasticity fci svar r-lang growth-at-risk macroeconomic-model price-of-risk consumption-based-asset-pricing vfci v-fci financial-conditions financial-conditions-index macro-finance

Updated Jan 2, 2024
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