Term Premia and Credit Risk in Emerging Markets: The Role of U.S. Monetary Policy (Replication Package)
Description
This package contains the datasets and the replication codes for the paper and the online appendix.
Files
Steps to reproduce
The contents of several original data files in the Data/Raw folder cannot be shared due to licensing rights or due to size limits but the file Data/MetadataGuide.docx documents the steps to access the data sources. In that case, simply execute the file Codes/Pre-Analysis/read_data.m to read the original data files. Execute the files Codes/Analysis/ts_analysis.m and Codes/Analysis/spillovers.do to replicate the figures and tables in the paper and the online appendix; comments in those codes indicate the lines that generate each figure and table. - Codes/Analysis/ts_analysis.m loads the data file Data/Analytic/yc_data.mat, computes the decompositions of the yield curves of the countries in the sample at the monthly and daily frequencies, and generates the data files Data/Analytic/yc_decompositions.mat and Data/Analytic/dataspillovers.xlsx. - Codes/Analysis/spillovers.do loads the data file Data/Analytic/dataspillovers.xlsx and performs the spillover analysis; beware that it creates dta files that might be too large for version control.