Merge pull request #5 from mikamyrseth/ellen

Ellen2016
mikamyrseth · Oct 6, 2022 · 665d6a7 · 665d6a7
2 parents 7c1cf52 + 7efdbda
commit 665d6a7
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diff --git a/input/custom_dataseries/ellen_custom.json b/input/custom_dataseries/ellen_custom.json
@@ -0,0 +1,10 @@
+[
+    {
+        "name": "CUSTOM-ELLEN-INTEREST-DIFFERENCE",
+        "page": "3",
+        "weights": {
+            "NO-MONEY-MARKET-12": 1,
+            "FOREIGN-MONEY-MARKET-12": -1
+        }
+    }
+]
diff --git a/input/dataseries/dataseries.json b/input/dataseries/dataseries.json
@@ -102,5 +102,22 @@
     "publisher": "Barclays",
     "bbg_ticker": "BXIIVEMG",
     "link": "??"
+  },
+
+  {
+    "name": "NO-MONEY-MARKET-12",
+    "description": "12-month Norwegian money market rate",
+    "frequency": "MONTHLY",
+    "publisher": "Norges Bank",
+    "bbg_ticker": "??",
+    "link": "??"
+  },
+  {
+    "name": "FOREIGN-MONEY-MARKET-12",
+    "description": "12-month foreign money market rate",
+    "frequency": "MONTHLY",
+    "publisher": "Norges Bank",
+    "bbg_ticker": "??",
+    "link": "??"
   }
 ]
diff --git a/input/models/ellen_asymmetric.json b/input/models/ellen_asymmetric.json
@@ -0,0 +1,30 @@
+{
+    "name": "Ellen asymmetric",
+    "authors": "Saskia Ter Ellen",
+    "publish_year": 2016,
+    "page": "5",
+    "model_start_date": "2001-01-01",
+    "model_end_date": "2015-08-01",
+    "dependent_variable": "DELTA-LOG-NB-I44", 
+    "frequency": "MONTHLY",
+    "coeffs": {
+      "ALPHA": 0.0018,
+      "DELTA_LOG_ICE_BRENT_POSITIVE": -0.0776,
+      "DELTA_LOG_ICE_BRENT_NEGATIVE": -0.0562,
+      "LAGGED_INTEREST_DIFFERENTIAL": -0.0015,
+      "CHANGE_INTEREST_DIFFERENTIAL": -0.0275,
+      "CRISIS_CONTROL_DUMMY": -0.0219
+    },
+    "stds": {
+        "CONSTANT": 1.3992,
+        "DELTA_LOG_ICE_BRENT_POSITIVE": -3.1713,
+        "DELTA_LOG_ICE_BRENT_NEGATIVE": -2.2304,
+        "LAGGED_INTEREST_DIFFERENTIAL": -1.9094,
+        "CHANGE_INTEREST_DIFFERENTIAL": -6.3554,
+        "CRISIS_CONTROL_DUMMY": -0.0219
+    },
+    "stats": {
+      "adjustedR2":0.3339
+    }
+  }
+
diff --git a/input/models/ellen_linear.json b/input/models/ellen_linear.json
@@ -0,0 +1,23 @@
+{
+    "name": "Ellen linear model",
+    "authors": "Saskia Ter Ellen",
+    "publish_year": 2016,
+    "page": "3",
+    "model_start_date": "2001-01-01",
+    "model_end_date": "2015-08-01",
+    "dependent_variable": "LOG-NB-I44",
+    "frequency": "MONTHLY",
+    "coeffs": {
+      "ALPHA": 0.0018,
+      "DELTA_LOG_ICE_BRENT": -0.0661
+
+    },
+    "stds": {
+        "CONSTANT":1.296,
+        "DELTA_LOG_ICE_BRENT":-4.9851
+    },
+    "stats": {
+      "adjustedR2":0.3367
+    }
+  }
+