Replication Material for "Liquidity Risk, Market Power and the Informational Effects of Policy'"

Description

The replication material contains three separate replication folders: (1) Replication - Auction, (2) Replication - State Space and (3) Replication - State Space_Robustness. (1) Contains all the code that can be used to perform the auction estimation. (2) and (3) can be used to produce the baseline results and all the robustness checks. All folders contain readme files that explain the main code files and which figures they can generate.

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