Replication Pack for "Monetary Policy and Fragility in Corporate Bond Mutual Funds"

Published: 20 August 2024| Version 2 | DOI: 10.17632/h4gb998bs8.2
Contributors:
, James O'Donovan,

Description

Replication files and pseudo data for Kuong, O'Donovan, and Zhang, 2024, "Monetary Policy and Fragility in Corporate Bond Mutual Funds" , Journal of Financial Economics

Files

Steps to reproduce

As described in the README file, the main analysis is performed in R, and the files “Daily_Analysis.R” and "Monthly_Analysis.R" produce all the results reported in the paper when run on the workspaces "daily_workspace.RData" and "monthly_workspace.RData". These workspaces are not included in posted replication package but can be created with access to the raw data by running "Create_Daily.R" and "Create_Monthly.R". As most of the data sets are proprietary, the posted data files, "daily_workspace_pseudo.RData" and "monthly_workspace_pseudo.RData" contain pseudo data.

Categories

Finance

Licence