Monthly data from March 2013 to December 2025 for ten economies (US, China, Taiwan, South Korea, Japan, Netherlands, Germany, Singapore, Malaysia, UK), comprising 1,540 economy-month observations. This replication dataset supports a Global Vector Autoregression (GVAR) analysis of semiconductor policy shocks and cross-market equity comovement. It includes a monthly panel, an author-coded standardized event database for Semiconductor Policy Shocks (SPS), alternative weight matrices, and estimation code for GVAR, Generalized Impulse Response Functions (GIRFs), Diebold-Mariano tests, and Model Confidence Sets.
Use Cases
- Estimating the transmission of semiconductor policy shocks across global equity markets based on the described GVAR framework.
- Conducting event studies on semiconductor policy announcements using the author-coded standardized SPS event database.
- Performing forecast comparisons and model selection for international financial comovement using the included Diebold-Mariano tests and Model Confidence Sets.
- Analyzing impulse responses to supply-chain shocks across the ten included economies using the provided Generalized Impulse Response Functions (GIRFs) code.
Strengths
- Includes 1,540 economy-month observations spanning over 12 years from March 2013 to December 2025.
- Covers ten major global economies relevant to semiconductor supply chains.
- Provides replication code for a full suite of econometric methods (GVAR, GIRFs, Diebold-Mariano tests, Model Confidence Sets, event studies).
Limitations
- Column-level documentation is absent; field semantics must be inferred after download.
- Row count for the primary panel is unknown, which may limit suitability assessment.
- Data may reflect geographic bias inherent to the selected ten economies.
Provenance
- Source
- Harvard Dataverse
- Collection Method
- Replication data and code for an academic paper; likely compiled from public financial and policy sources.
- Time Range
- 2013:03–2025:12
- Freshness
- Last updated 2026-06-23 17:12:17; freshness should be verified.
- Geography
- Ten economies: US, China, Taiwan, South Korea, Japan, Netherlands, Germany, Singapore, Malaysia, UK