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

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

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.

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