Liquidity Return, Global Risk, Exchange Rates, and the Scapegoat Effect

Description

Data files and Matlab code files required for the replicaion of the results in Liquidity Return, Global Risk, Exchange Rates, and the Scapegoat Effect at Economic Modelling. README file_Park.pdf contains detailed instructions relevant for the replication of the paper. README file_Appendix_Park.pdf contains detailed instructions relevant for the replication of the appendix of the paper. readme.txt in Bai_Perron test contains detailed instructions relevant for the Bai & Perron test

Steps to reproduce

Data sources are provided in the Appendix of the paper (Liquidity Return, Global Risk, Exchange Rates, and the Scapegoat Effect). Matlab is required to replicate the results.

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