This repository provides all materials needed to reproduce the analyses from the paper
Gallic, E. and Vermandel, G. "Weather Shocks" (2020) European Economic Review, 124, 103409. https://doi.org/10.1016/j.euroecorev.2020.103409
It also contains complementary materials developed for a hands-on session of the Network of Central Banks and Supervisors for Greening the Financial System (NGFS) Macro Modelling Initiative, organized by Benjamin Alford and Helena Herber (Banque de France).
- 📕 Author's version of Weather Shocks
- 📝 Technical Appendix
- 📦 Replication codes (Zip archive, updated version, October 2025)
Software requirements:
- R (≥ 4.0.0) with a few packages (tidyverse, lubridate, sf).
- Dynare (≥ 6.) interfaced with MATLAB.
The objective of the first session is to walk participants through the main methodology used in the paper and to show how to reproduce each component of the analysis step by step.
- Slides,
- Replication codes to follow along.
Topics covered (broadly):
- Construction of weather shock variables from weather station data
- Econometric estimation with a structural VAR
- Integration of weather shocks into a dynamic stochastic general equilibrium (DSGE) framework
The second session is designed as a broader training exercise. Its goal is to help participants adapt the methodology to new contexts or datasets.
Provided tutorials cover:
-
How to download and process gridded weather data to build relevant climate indicators
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How to develop DSGE models including:
- An agricultural sector,
- An exogenous weather shock affecting the production function of that sector