Replication codes and data for "What Moves Treasury Yields?"
Description
Replication files for “What Moves Treasury Yields?” by Emanuel Moench (e.moench@fs.de) and Soroosh Soofi-Siavash (ssoofi.siavash@gmail.com)
Files
Steps to reproduce
Run All_Models_Generate_Figures.m to generate Figures 1-13, A.8, and Tables 2-3. All the results will be stored in the subdirectory "results". Figures will be saved in .eps and .pdf formats, and Tables will be stored in .csv format. There are eight Matlab files which are called in All_Models_Generate_Figures.m to produce the results: load_all_data.m: loads all data from the Excel file data_all.xls. In turn, all monthly data and quarterly data are stored in data_m.mat and data_q.mat, respectively. only_yields_sdfm_yield_shocks.m: estimates the only-yields DFM and computes IRFs and FEVDs for the level, slope and yield news shocks. macro_yields_sdfm_yield_shocks.m: estimates the macro-yields DFM and computes IRFs and FEVDs for the level, slope and yield news shocks. macro_yields_sdfm_vxo_shock.m: constructs IRFs and FEVDs for the implied stock market volatility shock. macro_yields_sdfm_rvol_shock.m: constructs IRFs and FEVDs for the realized stock market volatility shock. macro_yields_sdfm_business_cycle_news_shock.m: constructs IRFs and FEVDs for the business cycle news shock. macro_yields_sdfm_residual_yield_news_shock.m: constructs IRFs and FEVDs for the yield news shock that is orthogonal to the realized volatility and business cycle news shocks. quarterly_macro_yields_sdfm_ko_slope_shock.m: estimates the quarterly macro-yields DFM and computes IRFs and FEVDs for a André Kurmann and Christopher Otrok (2013) type slope shock.