Hi, I'm trying to figure out how to estimate the effect of exchange rates (USD/X) on inflation in other countries using monetary policy shocks as an instrument.
This is what I'm thinking...
- Monetary policy shock data: monthly
- Exchange rate data: percent change in monthly average (by country)
- Inflation: percent change in monthly average (by country)
Which command do I use to implement this and how exactly am I supposed to specify that Y = pc_inflation, X = pc_fx, and Z = mp_shock? I've seen xtivreg, ivregress, ivreghdfe, 2sls, etc...
These are commands that I've tried, but not really sure what I'm doing...
This is what I'm thinking...
- Monetary policy shock data: monthly
- Exchange rate data: percent change in monthly average (by country)
- Inflation: percent change in monthly average (by country)
Which command do I use to implement this and how exactly am I supposed to specify that Y = pc_inflation, X = pc_fx, and Z = mp_shock? I've seen xtivreg, ivregress, ivreghdfe, 2sls, etc...
These are commands that I've tried, but not really sure what I'm doing...
Code:
xtivreg pc_inflation (pc_fx = resid_full), fe vce(robust) first small
Code:
ivregress 2sls pc_inflation (pc_fx = mp_shock), vce(cluster country) first
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