Replication Data and Code for Fearing the Fed: How Wall Street Reads Main Street
Description
Replicatation Data and Code for Fearing the Fed: How Wall Street Reads Main Street Vadim Elenev, Tzuo-Hann Law, Dongho Song, Amir Yaron This folder contains the source code necessary to reproduce the figures and tables from the published paper.
Files
Steps to reproduce
In the 'data' folder, you will find intra-day futures prices and macroeconomic announcement surprises. See glossary below for details. To replicate the results, there are two MATLAB files available for execution: 1) Replicating_Figures.m: Use this script to generate all the figures presented in the paper. 2) Replicating_Tables.m: Use this script to produce all the tables from the paper. After running these scripts, the output files will be stored in either the 'figure' or 'table' folder, respectively. Finally, navigate to the 'pdf' folder and run 'compile.tex' to create a PDF file that compiles all the figures and tables. See readme.docx for additional details on the data sources