by Pavel Solís ([email protected])
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: statistics toolbox. Stata: scheme-modern, grc1leg2, xtbreak
- Restricted data sources: Bloomberg
- Expected running time: ~6 hrs 47 min
README.md (this file)
- Codes folder with the following subfolder:
- Analysis: replication codes
- Data folder with the following subfolder:
- Analytic: analysis dataset
- Docs folder with the following subfolders:
- Paper folder: files that make up the manuscript
- Figures folder: files with the figures
- References folder: .bib file with cited references
With the following exceptions, the variables in the dataset represent (percent) changes (* is a wildcard):
- date* contain dates
- idx* are binary variables
- level* report end-of-day values
The following variables report intraday (percent) changes in 30-min windows:
- gmxn*yr, mpsw28t, mpswc, trm*, usdmxn
Some variables use the following suffixes:
- _ttwd for intraday (percent) changes in 50-min windows
- _ttdm for daily (percent) changes
Some variables can be identified as follows:
- id: intraday values
- dy: daily end-of-day values
- dc: daily (percent) changes
- mp: monetary policy (MP) announcement days and times
- ca: calendar of macroeconomic releases on MP announcement days
- evr: macro events (and their relevance) released on same days of MP announcements
- frq: frequency with which macro events coincide with MP announcements
- ov: macro events released on the same day and time of an MP announcement
- im: intraday values on MP announcement days
- dm: daily (percent) changes on MP announcement days
- tg: intraday (percent) changes in 30-min windows around MP announcements
- wd: intraday (percent) changes in 50-min windows around MP announcements
Execute the pq_analysis.do and the pqm_analysis.m files to replicate the results in the paper
Execute the paper.tex file to generate the PDF version of the manuscript