
List of Matlab codes for:

       Kaiji Motegi and Saki Sugano (2025). Cross-regional spillover effects of 
          sustainability indices: A heteroscedasticity-robust VAR approach. 
          SSRN Working Paper #5148949.

Codes are written by: 
 
       Kaiji Motegi, Ph.D.
       Associate Professor
       Graduate School of Economics, Kobe University

Last updated: 

       August 12, 2025.

Main codes for the empirical analysis:

       01. DJSI_tsplot_v14.m
       02. DJSI_CDRT_v10.m
       03. DJSI_VAR_v10.m
       04. DJSI_VAR_RW_FEVD_v2.m

Scripts:

       01. rp_selection_VECM_v1.m
       02. QML_VECM_v1.m
       03. estim_VARp_v1.m 
       04. WB_GCT_ALL_VARp_v1.m
       05. WB_GCT_VARp_v1.m
       06. WB_WT_VARp_v1.m
       07. WT_VARp_v1.m
       08. gener_VARp_v1.m
       09. IRF_VD_VARp_v1.m
       10. MBB_CI_VARp_v1.m
       11. latex_preamble_DJSI_v1.m
 
Data for the empirical analysis:

       01. data_DJSI_daily_VAR_v7.txt

This dataset is retrieved from Bloomberg, and the authors do not have permission to share it.
Details of the data including the Bloomberg ticker codes are stated in the paper, 
hence Bloomberg users should be able to replicate all our empirical results.