Term Premia and Credit Risk in Emerging Markets: The Role of U.S. Monetary Policy

by Pavel Solís (pavel.solis@gmail.com)

System Features

The results in the paper were generated using the following:

• Operating systems: macOS 12.2.1, Windows 10 Enterprise.
• Software: Matlab R2019a, Stata 17.
• Add-ons. Matlab: financial toolboxes. Stata: xtcsd, xtscc.ado*, scheme-modern.
• Restricted data sources: Bloomberg, Datastream.
• Expected running time. Data reading: 30 mins. ATSM estimation: 6 hrs. Local projections: 2 hrs.

* In the file xtscc.ado, comment out section Check if dataset's timevar is regularly spaced (lines 74-83) because tab timevar gives the error too many variables. Type which xtscc in Stata to find the location of the xtscc.ado file.

Contents of Folder

• README.txt (this file).
• LICENSE: Open-source license for the repository.
• Codes folder with the following subfolders:
  • Pre-Analysis. Codes that clean and process the original data files.
  • Analysis. Replication codes.
• Data folder with the following subfolders:
  • Raw. Original data files.
  • Analytic. Analysis data files.
• Docs folder with the following subfolders:
  • Paper. Source file for the online appendix.
  • Figures. Files for the figures used in the online appendix.

Instructions for Replication

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.

Execute the file Docs/Paper/online.tex to generate the PDF version of the online appendix.