Are FX Communications Effective? Evidence from Emerging Markets
These files provide the data and code that underlie the empirical analysis of our paper. Data for CDS, VIX, GBI, and PCOMM can be accessed through Bloomberg. Data for international reserves (IR) in Colombia is not publicly available and can be requested to the Central Bank of Colombia.
Steps to reproduce
Follow steps in attached text file containing our code (FXI_COMMUNICATIONS_CODE).