Uses R to generate IRFs from Panel local projection models.

See "How Do Rising U.S. Interest Rates Affect Emerging and Developing Economies? It Depends" for additional details

Variable Definition

GDP: Annual percentage growth rate of GDP at market prices based on constant local currency
CPI: Consumer price index
REER: Percentage deviation of real effective exchange rate from HP-filtered trend
DEBT2GDP: Gross debt (general government or central government) to GDP
D_DEBT2GDP: Change in gross debt (general government or central government) to GDP
CF2GDP_TL: Total capital flows to GDP
FDI2GDP: Net inflows of foreign direct investment as a share of GDP
D_GOV3M: Change in 3-month interest rate (or nearest equivalent)
GOV10: 10-year local-currency government bond yield (or nearest maturity)
D_GOV10: Change in 10-year local-currency government bond yield (or nearest maturity)
PB2GDP: Primary balance (general government or central government) to GDP
REV2GDP: Revenue (general government or central government) to GDP
EXP2GDP: Expenditure (general government or central government) to GDP
ST_SHARE: Short-term (less than one year maturity) debt as a ratio to total debt
EXT_SHARE: Debt held by external creditors as a ratio to total debt
D_EMBI: Change in EMBIG* spread
EQUITY: Stock market index
D_POLICY: Policy interest rate
PVT_CONS: Real private consumption
INV: Real fixed investment
EXP: Real exports of goods and services, seasonally adjusted
REACT_SHK_S: Reaction shock 
REAL_SHK_S: Real shock 
INF_SHK_S: Inflation shock
