The probabilistic forecasting results use the same dataset and code as our original J. Appl. Econometrics paper (GNS2010). 

For the GIRF codes, there are 2 versions providing all the shock options that we examine - definitions of shocks are well-detailed in each version. We provide original and re-scaled results. The final GIRFs to 4 reported shocks (as reported in the chapter) are in GVAR_ECB_GIRF_final4report.xlsx. The final results for probability event forecasts are in GVAR_ECB_SPR_all.xlsx.
