*******************************************************************************************************************************************************************************
*May 2016
*Credit Availability and Asset Pricing Dynamics in Illiquid Markets: Evidence from Commercial Real Estate Markets
*DAVID C. LING, ANDY NARANJO, AND BENJAMIN SCHEICK
*
* Introductory Note
* 
* This produces the main results presented in our Journal of Money, Credit, and Banking Paper,
* "Credit Availability and Asset Pricing Dynamics in Illiquid Markets: Evidence from Commercial Real Estate Markets". The data are time series and analysis is conducted using Stata.
* Please read the paper for a full description  of the data and how the variables were collected and defined.
*
* This script calls on four data files named (1) private_market_analysis.txt, (2)public_market_analysis.txt, (3) public_market_lev_liq_sort.txt, and (4) reit_preferred_issuance_list.txt
*
* -David C. Ling, Andy Naranjo, and Benjamin Scheick, May 2016
********************************************************************************************************************************************************************************


******************************************************************
* Table 1: Descriptive Statistics - Private Commercial Real Estate*
******************************************************************
insheet using private_market_analysis.txt
tsset qtr_num 

sum tbiret propsold tighten tightena cmbs bankliq margin catfin sent mtgflow tbill termspread defspread infla mkt smb hml umd ps_liq caprt, d
correl tbiret l.tbiret
correl propsold l.propsold
correl tighten l.tighten
correl tightena l.tightena
correl cmbs l.cmbs
correl bankliq l.bankliq
correl margin l.margin
correl catfin l.catfin
correl sent l.sent
correl mtgflow l.mtgflow
correl tbill l.tbill
correl termspread l.termspread
correl defspread l.defspread
correl infla l.infla
correl mkt l.mkt
correl smb l.smb
correl hml l.hml
correl umd l.umd
correl ps_liq l.ps_liq
correl caprt l.caprt


*********************************************************
* Table 2: Correlations - Credit Availability Measures *
*********************************************************

*******************
*Panel A - Levels*
*******************
*Note: For levels correlations we use detrended cmbs (cmbs2) and bankliq measures (bankliq2)*

correl tighten tightena
correl tighten cmbs2
correl tighten bankliq2
correl tightena cmbs2
correl tightena bankliq2
correl cmbs2 bankliq2

*******************
*Panel B - Changes*
*******************

correl l4.tighten_chg tightena_chg 
correl l4.tighten_chg cmbs_chg 
correl l4.tighten_chg bankliq_chg

correl l3.tighten_chg tightena_chg 
correl l3.tighten_chg cmbs_chg 
correl l3.tighten_chg bankliq_chg

correl l2.tighten_chg tightena_chg 
correl l2.tighten_chg cmbs_chg 
correl l2.tighten_chg bankliq_chg

correl l1.tighten_chg tightena_chg 
correl l1.tighten_chg cmbs_chg 
correl l1.tighten_chg bankliq_chg

correl tighten_chg tightena_chg 
correl tighten_chg cmbs_chg 
correl tighten_chg bankliq_chg

correl f1.tighten_chg tightena_chg 
correl f1.tighten_chg cmbs_chg 
correl f1.tighten_chg bankliq_chg

correl f2.tighten_chg tightena_chg 
correl f2.tighten_chg cmbs_chg 
correl f2.tighten_chg bankliq_chg

correl f3.tighten_chg tightena_chg 
correl f3.tighten_chg cmbs_chg 
correl f3.tighten_chg bankliq_chg

correl f4.tighten_chg tightena_chg 
correl f4.tighten_chg cmbs_chg 
correl f4.tighten_chg bankliq_chg


********************************************************************************************************************
* Table 3: VAR Results - Credit Availability, Market Liquidity and Price Changes in Private Commercial Real Estate * 
********************************************************************************************************************

***********************
*Panel A - tighten_chg*
***********************

var tbiret tighten_chg propsold_chg, lag(1/3) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.caprt)
test  ([tbiret]: L1.tbiret L2.tbiret L3.tbiret)
test  ([tbiret]: L1.tighten_chg L2.tighten_chg L3.tighten_chg)
test  ([tbiret]: L1.propsold_chg L2.propsold_chg L3.propsold_chg)
test  ([tighten_chg]: L1.tbiret L2.tbiret L3.tbiret)
test  ([tighten_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg)
test  ([tighten_chg]: L1.propsold_chg L2.propsold_chg L3.propsold_chg)
test  ([propsold_chg]: L1.tbiret L2.tbiret L3.tbiret)
test  ([propsold_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg)
test  ([propsold_chg]: L1.propsold_chg L2.propsold_chg L3.propsold_chg)

***********************
*Panel B - tightena_chg*
***********************

var tbiret tightena_chg propsold_chg, lag(1/3) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.caprt)
test  ([tbiret]: L1.tbiret L2.tbiret L3.tbiret)
test  ([tbiret]: L1.tightena_chg L2.tightena_chg L3.tightena_chg )
test  ([tbiret]: L1.propsold_chg L2.propsold_chg L3.propsold_chg )
test  ([tightena_chg]: L1.tbiret L2.tbiret L3.tbiret)
test  ([tightena_chg]: L1.tightena_chg L2.tightena_chg L3.tightena_chg )
test  ([tightena_chg]: L1.propsold_chg L2.propsold_chg L3.propsold_chg )
test  ([propsold_chg]: L1.tbiret L2.tbiret L3.tbiret)
test  ([propsold_chg]: L1.tightena_chg L2.tightena_chg L3.tightena_chg )
test  ([propsold_chg]: L1.propsold_chg L2.propsold_chg L3.propsold_chg )

***********************
*Panel C - cmbs_chg*
***********************

var tbiret cmbs_chg propsold_chg, lag(1/3) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.caprt)
test  ([tbiret]: L1.tbiret L2.tbiret L3.tbiret)
test  ([tbiret]: L1.cmbs_chg L2.cmbs_chg L3.cmbs_chg )
test  ([tbiret]: L1.propsold_chg L2.propsold_chg L3.propsold_chg )
test  ([cmbs_chg]: L1.tbiret L2.tbiret L3.tbiret)
test  ([cmbs_chg]: L1.cmbs_chg L2.cmbs_chg L3.cmbs_chg )
test  ([cmbs_chg]: L1.propsold_chg L2.propsold_chg L3.propsold_chg )
test  ([propsold_chg]: L1.tbiret L2.tbiret L3.tbiret)
test  ([propsold_chg]: L1.cmbs_chg L2.cmbs_chg L3.cmbs_chg )
test  ([propsold_chg]: L1.propsold_chg L2.propsold_chg L3.propsold_chg )

***********************
*Panel D - bankliq_chg*
***********************

var tbiret bankliq_chg propsold_chg, lag(1/3) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.caprt)
test  ([tbiret]: L1.tbiret L2.tbiret L3.tbiret)
test  ([tbiret]: L1.bankliq_chg L2.bankliq_chg L3.bankliq_chg )
test  ([tbiret]: L1.propsold_chg L2.propsold_chg L3.propsold_chg)
test  ([bankliq_chg]: L1.tbiret L2.tbiret L3.tbiret)
test  ([bankliq_chg]: L1.bankliq_chg L2.bankliq_chg L3.bankliq_chg )
test  ([bankliq_chg]: L1.propsold_chg L2.propsold_chg L3.propsold_chg)
test  ([propsold_chg]: L1.tbiret L2.tbiret L3.tbiret)
test  ([propsold_chg]: L1.bankliq_chg L2.bankliq_chg L3.bankliq_chg )
test  ([propsold_chg]: L1.propsold_chg L2.propsold_chg L3.propsold_chg)



***************************************************************************************************
* Table 4: Additional Private Market Robustness Checks - Contemporaneous Effects and Identification
***************************************************************************************************


***************************
*Panel A - Structural VARs*
***************************

*Note: The estimates of off-diagonal elements of the A matrix contain the negative of the actual contemporaneous effects. We report the actual contemporaenous effects in Panel A of Table 4. See stata documentation on svaf (http://www.stata.com/manuals13/tsvarsvar.pdf) for further details*

*Column (1)*
matrix A = (1,.,.\0,1,0\0,0,1)
matrix B = (.,0,0\0,.,0\0,0,.)
svar tbiret tighten_chg propsold_chg, lag(1/3) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.caprt) aeq(A) beq(B) var

*Column (2)*
matrix A = (1,0,0\.,1,.\0,0,1)
matrix B = (.,0,0\0,.,0\0,0,.)
svar tbiret tighten_chg propsold_chg, lag(1/3) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.caprt) aeq(A) beq(B) var

*Column (3)*
matrix A = (1,0,0\0,1,0\.,.,1)
matrix B = (.,0,0\0,.,0\0,0,.)
svar tbiret tighten_chg propsold_chg, lag(1/3) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.caprt) aeq(A) beq(B) var

**************************************************
*Panel B - Instrumental Variable - GMM Estimation*
**************************************************

*Note: In the GMM output, tighten_iv_chg refers to the instrumental variable when using margin in the first stage; tighten_iv_chg2 refers to the instrumental variable when using catfin in the first stage*

*Column (1) - For purpose of displaying 1st Stage Estimation Results*
reg tighten l.margin  l1.tbiret l2.tbiret l3.tbiret L.tighten_chg l2.tighten_chg l3.tighten_chg l.propsold_chg l2.propsold_chg l3.propsold_chg l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.caprt i.year

*Column (2)*
gmm (pricing: tbiret -{l_tbiret_eq1}*l1_tbiret -{l2_tbiret_eq1}*l2_tbiret -{l3_tbiret_eq1}*l3_tbiret -{tighten_iv_chg_eq1}*tighten_iv_chg -{l_tighten_chg_eq1}*l1_tighten_chg -{l2_tighten_chg_eq1}*l2_tighten_chg -{l3_tighten_chg_eq1}*l3_tighten_chg - {l_propsold_chg_eq1}*l1_propsold_chg - {l2_propsold_chg_eq1}*l2_propsold_chg - {l3_propsold_chg_eq1}*l3_propsold_chg -{l_tbill_eq1}*l_tbill -{l_termspread_eq1}*l_termspread -{l_defspread_eq1}*l_defspread -{l_infla_eq1}*l_infla -{l_mkt_eq1}*l_mkt -{l_smb_eq1}*l_smb -{l_hml_eq1}*l_hml -{l_umd_eq1}*l_umd -{l_ps_liq_eq1}*l_ps_liq -{l_caprt_eq1}*l_caprt-{constant_eq1}) (credit: tighten_chg -{l_tbiret_eq2}*l1_tbiret -{l2_tbiret_eq2}*l2_tbiret -{l3_tbiret_eq2}*l3_tbiret -{l_tighten_chg_eq2}*l1_tighten_chg -{l2_tighten_chg_eq2}*l2_tighten_chg -{l3_tighten_chg_eq2}*l3_tighten_chg - {l_propsold_chg_eq2}*l1_propsold_chg - {l2_propsold_chg_eq2}*l2_propsold_chg - {l3_propsold_chg_eq2}*l3_propsold_chg -{l_tbill_eq2}*l_tbill -{l_termspread_eq2}*l_termspread -{l_defspread_eq2}*l_defspread -{l_infla_eq2}*l_infla -{l_mkt_eq2}*l_mkt -{l_smb_eq2}*l_smb -{l_hml_eq2}*l_hml -{l_umd_eq2}*l_umd -{l_ps_liq_eq2}*l_ps_liq -{l_caprt_eq2}*l_caprt-{constant_eq2}) (liquidity: propsold_chg -{l_tbiret_eq3}*l1_tbiret -{l2_tbiret_eq3}*l2_tbiret -{l3_tbiret_eq3}*l3_tbiret -{l_tighten_chg_eq3}*l1_tighten_chg -{l2_tighten_chg_eq3}*l2_tighten_chg -{l3_tighten_chg_eq3}*l3_tighten_chg - {l_propsold_chg_eq3}*l1_propsold_chg - {l2_propsold_chg_eq3}*l2_propsold_chg - {l3_propsold_chg_eq3}*l3_propsold_chg -{l_tbill_eq3}*l_tbill -{l_termspread_eq3}*l_termspread -{l_defspread_eq3}*l_defspread -{l_infla_eq3}*l_infla -{l_mkt_eq3}*l_mkt -{l_smb_eq3}*l_smb -{l_hml_eq3}*l_hml -{l_umd_eq3}*l_umd -{l_ps_liq_eq3}*l_ps_liq -{l_caprt_eq3}*l_caprt-{constant_eq3}) , instruments (pricing: l1_tbiret l2_tbiret l3_tbiret tighten_iv_chg l1_tighten_chg l2_tighten_chg l3_tighten_chg l1_propsold_chg l2_propsold_chg l3_propsold_chg l_tbill l_termspread l_defspread l_infla l_mkt l_smb l_hml l_umd l_ps_liq l_caprt) instruments (credit: l1_tbiret l2_tbiret l3_tbiret l1_tighten_chg l2_tighten_chg l3_tighten_chg l1_propsold_chg l2_propsold_chg l3_propsold_chg l_tbill l_termspread l_defspread l_infla l_mkt l_smb l_hml l_umd l_ps_liq l_caprt) instruments (liquidity: l1_tbiret l2_tbiret l3_tbiret l1_tighten_chg l2_tighten_chg l3_tighten_chg l1_propsold_chg l2_propsold_chg l3_propsold_chg l_tbill l_termspread l_defspread l_infla l_mkt l_smb l_hml l_umd l_ps_liq l_caprt) winitial (unadjusted, indep) 
test [tighten_iv_chg_eq1]_cons
test [l_tighten_chg_eq1]_cons [l2_tighten_chg_eq1]_cons [l3_tighten_chg_eq1]_cons

*Column (3)*
gmm (pricing: tbiret -{l_tbiret_eq1}*l1_tbiret -{l2_tbiret_eq1}*l2_tbiret -{l3_tbiret_eq1}*l3_tbiret -{l1_tighten_iv_chg_eq1}*l1_tighten_iv_chg -{l2_tighten_iv_chg_eq1}*l2_tighten_iv_chg -{l3_tighten_iv_chg_eq1}*l3_tighten_iv_chg - {l_propsold_chg_eq1}*l1_propsold_chg - {l2_propsold_chg_eq1}*l2_propsold_chg - {l3_propsold_chg_eq1}*l3_propsold_chg -{l_tbill_eq1}*l_tbill -{l_termspread_eq1}*l_termspread -{l_defspread_eq1}*l_defspread -{l_infla_eq1}*l_infla -{l_mkt_eq1}*l_mkt -{l_smb_eq1}*l_smb -{l_hml_eq1}*l_hml -{l_umd_eq1}*l_umd -{l_ps_liq_eq1}*l_ps_liq -{l_caprt_eq1}*l_caprt-{constant_eq1}) (credit: tighten_chg -{l_tbiret_eq2}*l1_tbiret -{l2_tbiret_eq2}*l2_tbiret -{l3_tbiret_eq2}*l3_tbiret -{l_tighten_chg_eq2}*l1_tighten_chg -{l2_tighten_chg_eq2}*l2_tighten_chg -{l3_tighten_chg_eq2}*l3_tighten_chg - {l_propsold_chg_eq2}*l1_propsold_chg - {l2_propsold_chg_eq2}*l2_propsold_chg - {l3_propsold_chg_eq2}*l3_propsold_chg -{l_tbill_eq2}*l_tbill -{l_termspread_eq2}*l_termspread -{l_defspread_eq2}*l_defspread -{l_infla_eq2}*l_infla -{l_mkt_eq2}*l_mkt -{l_smb_eq2}*l_smb -{l_hml_eq2}*l_hml -{l_umd_eq2}*l_umd -{l_ps_liq_eq2}*l_ps_liq -{l_caprt_eq2}*l_caprt-{constant_eq2}) (liquidity: propsold_chg -{l_tbiret_eq3}*l1_tbiret -{l2_tbiret_eq3}*l2_tbiret -{l3_tbiret_eq3}*l3_tbiret -{l_tighten_chg_eq3}*l1_tighten_chg -{l2_tighten_chg_eq3}*l2_tighten_chg -{l3_tighten_chg_eq3}*l3_tighten_chg - {l_propsold_chg_eq3}*l1_propsold_chg - {l2_propsold_chg_eq3}*l2_propsold_chg - {l3_propsold_chg_eq3}*l3_propsold_chg -{l_tbill_eq3}*l_tbill -{l_termspread_eq3}*l_termspread -{l_defspread_eq3}*l_defspread -{l_infla_eq3}*l_infla -{l_mkt_eq3}*l_mkt -{l_smb_eq3}*l_smb -{l_hml_eq3}*l_hml -{l_umd_eq3}*l_umd -{l_ps_liq_eq3}*l_ps_liq -{l_caprt_eq3}*l_caprt-{constant_eq3}) , instruments (pricing: l1_tbiret l2_tbiret l3_tbiret l1_tighten_iv_chg l2_tighten_iv_chg l3_tighten_iv_chg l1_propsold_chg l2_propsold_chg l3_propsold_chg l_tbill l_termspread l_defspread l_infla l_mkt l_smb l_hml l_umd l_ps_liq l_caprt) instruments (credit: l1_tbiret l2_tbiret l3_tbiret l1_tighten_chg l2_tighten_chg l3_tighten_chg l1_propsold_chg l2_propsold_chg l3_propsold_chg l_tbill l_termspread l_defspread l_infla l_mkt l_smb l_hml l_umd l_ps_liq l_caprt) instruments (liquidity: l1_tbiret l2_tbiret l3_tbiret l1_tighten_chg l2_tighten_chg l3_tighten_chg l1_propsold_chg l2_propsold_chg l3_propsold_chg l_tbill l_termspread l_defspread l_infla l_mkt l_smb l_hml l_umd l_ps_liq l_caprt) winitial (unadjusted, indep) 
test [l1_tighten_iv_chg_eq1]_cons [l2_tighten_iv_chg_eq1]_cons [l3_tighten_iv_chg_eq1]_cons

*Column (4) - For purpose of displaying 1st Stage Estimation Results*
reg tighten l.catfin  l1.tbiret l2.tbiret l3.tbiret L.tighten_chg l2.tighten_chg l3.tighten_chg l.propsold_chg l2.propsold_chg l3.propsold_chg l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.caprt i.year

*Column (5)*
gmm (pricing: tbiret -{l_tbiret_eq1}*l1_tbiret -{l2_tbiret_eq1}*l2_tbiret -{l3_tbiret_eq1}*l3_tbiret -{tighten_iv2_chg_eq1}*tighten_iv2_chg -{l_tighten_chg_eq1}*l1_tighten_chg -{l2_tighten_chg_eq1}*l2_tighten_chg -{l3_tighten_chg_eq1}*l3_tighten_chg - {l_propsold_chg_eq1}*l1_propsold_chg - {l2_propsold_chg_eq1}*l2_propsold_chg - {l3_propsold_chg_eq1}*l3_propsold_chg -{l_tbill_eq1}*l_tbill -{l_termspread_eq1}*l_termspread -{l_defspread_eq1}*l_defspread -{l_infla_eq1}*l_infla -{l_mkt_eq1}*l_mkt -{l_smb_eq1}*l_smb -{l_hml_eq1}*l_hml -{l_umd_eq1}*l_umd -{l_ps_liq_eq1}*l_ps_liq -{l_caprt_eq1}*l_caprt-{constant_eq1}) (credit: tighten_chg -{l_tbiret_eq2}*l1_tbiret -{l2_tbiret_eq2}*l2_tbiret -{l3_tbiret_eq2}*l3_tbiret -{l_tighten_chg_eq2}*l1_tighten_chg -{l2_tighten_chg_eq2}*l2_tighten_chg -{l3_tighten_chg_eq2}*l3_tighten_chg - {l_propsold_chg_eq2}*l1_propsold_chg - {l2_propsold_chg_eq2}*l2_propsold_chg - {l3_propsold_chg_eq2}*l3_propsold_chg -{l_tbill_eq2}*l_tbill -{l_termspread_eq2}*l_termspread -{l_defspread_eq2}*l_defspread -{l_infla_eq2}*l_infla -{l_mkt_eq2}*l_mkt -{l_smb_eq2}*l_smb -{l_hml_eq2}*l_hml -{l_umd_eq2}*l_umd -{l_ps_liq_eq2}*l_ps_liq -{l_caprt_eq2}*l_caprt-{constant_eq2}) (liquidity: propsold_chg -{l_tbiret_eq3}*l1_tbiret -{l2_tbiret_eq3}*l2_tbiret -{l3_tbiret_eq3}*l3_tbiret -{l_tighten_chg_eq3}*l1_tighten_chg -{l2_tighten_chg_eq3}*l2_tighten_chg -{l3_tighten_chg_eq3}*l3_tighten_chg - {l_propsold_chg_eq3}*l1_propsold_chg - {l2_propsold_chg_eq3}*l2_propsold_chg - {l3_propsold_chg_eq3}*l3_propsold_chg -{l_tbill_eq3}*l_tbill -{l_termspread_eq3}*l_termspread -{l_defspread_eq3}*l_defspread -{l_infla_eq3}*l_infla -{l_mkt_eq3}*l_mkt -{l_smb_eq3}*l_smb -{l_hml_eq3}*l_hml -{l_umd_eq3}*l_umd -{l_ps_liq_eq3}*l_ps_liq -{l_caprt_eq3}*l_caprt-{constant_eq3}) , instruments (pricing: l1_tbiret l2_tbiret l3_tbiret tighten_iv2_chg l1_tighten_chg l2_tighten_chg l3_tighten_chg l1_propsold_chg l2_propsold_chg l3_propsold_chg l_tbill l_termspread l_defspread l_infla l_mkt l_smb l_hml l_umd l_ps_liq l_caprt) instruments (credit: l1_tbiret l2_tbiret l3_tbiret l1_tighten_chg l2_tighten_chg l3_tighten_chg l1_propsold_chg l2_propsold_chg l3_propsold_chg l_tbill l_termspread l_defspread l_infla l_mkt l_smb l_hml l_umd l_ps_liq l_caprt) instruments (liquidity: l1_tbiret l2_tbiret l3_tbiret l1_tighten_chg l2_tighten_chg l3_tighten_chg l1_propsold_chg l2_propsold_chg l3_propsold_chg l_tbill l_termspread l_defspread l_infla l_mkt l_smb l_hml l_umd l_ps_liq l_caprt) winitial (unadjusted, indep) 
test [tighten_iv2_chg_eq1]_cons
test [l_tighten_chg_eq1]_cons [l2_tighten_chg_eq1]_cons [l3_tighten_chg_eq1]_cons

*Column (6)*
gmm (pricing: tbiret -{l_tbiret_eq1}*l1_tbiret -{l2_tbiret_eq1}*l2_tbiret -{l3_tbiret_eq1}*l3_tbiret -{l1_tighten_iv2_chg_eq1}*l1_tighten_iv2_chg -{l2_tighten_iv2_chg_eq1}*l2_tighten_iv2_chg -{l3_tighten_iv2_chg_eq1}*l3_tighten_iv2_chg - {l_propsold_chg_eq1}*l1_propsold_chg - {l2_propsold_chg_eq1}*l2_propsold_chg - {l3_propsold_chg_eq1}*l3_propsold_chg -{l_tbill_eq1}*l_tbill -{l_termspread_eq1}*l_termspread -{l_defspread_eq1}*l_defspread -{l_infla_eq1}*l_infla -{l_mkt_eq1}*l_mkt -{l_smb_eq1}*l_smb -{l_hml_eq1}*l_hml -{l_umd_eq1}*l_umd -{l_ps_liq_eq1}*l_ps_liq -{l_caprt_eq1}*l_caprt-{constant_eq1}) (credit: tighten_chg -{l_tbiret_eq2}*l1_tbiret -{l2_tbiret_eq2}*l2_tbiret -{l3_tbiret_eq2}*l3_tbiret -{l_tighten_chg_eq2}*l1_tighten_chg -{l2_tighten_chg_eq2}*l2_tighten_chg -{l3_tighten_chg_eq2}*l3_tighten_chg - {l_propsold_chg_eq2}*l1_propsold_chg - {l2_propsold_chg_eq2}*l2_propsold_chg - {l3_propsold_chg_eq2}*l3_propsold_chg -{l_tbill_eq2}*l_tbill -{l_termspread_eq2}*l_termspread -{l_defspread_eq2}*l_defspread -{l_infla_eq2}*l_infla -{l_mkt_eq2}*l_mkt -{l_smb_eq2}*l_smb -{l_hml_eq2}*l_hml -{l_umd_eq2}*l_umd -{l_ps_liq_eq2}*l_ps_liq -{l_caprt_eq2}*l_caprt-{constant_eq2}) (liquidity: propsold_chg -{l_tbiret_eq3}*l1_tbiret -{l2_tbiret_eq3}*l2_tbiret -{l3_tbiret_eq3}*l3_tbiret -{l_tighten_chg_eq3}*l1_tighten_chg -{l2_tighten_chg_eq3}*l2_tighten_chg -{l3_tighten_chg_eq3}*l3_tighten_chg - {l_propsold_chg_eq3}*l1_propsold_chg - {l2_propsold_chg_eq3}*l2_propsold_chg - {l3_propsold_chg_eq3}*l3_propsold_chg -{l_tbill_eq3}*l_tbill -{l_termspread_eq3}*l_termspread -{l_defspread_eq3}*l_defspread -{l_infla_eq3}*l_infla -{l_mkt_eq3}*l_mkt -{l_smb_eq3}*l_smb -{l_hml_eq3}*l_hml -{l_umd_eq3}*l_umd -{l_ps_liq_eq3}*l_ps_liq -{l_caprt_eq3}*l_caprt-{constant_eq3}) , instruments (pricing: l1_tbiret l2_tbiret l3_tbiret l1_tighten_iv2_chg l2_tighten_iv2_chg l3_tighten_iv2_chg l1_propsold_chg l2_propsold_chg l3_propsold_chg l_tbill l_termspread l_defspread l_infla l_mkt l_smb l_hml l_umd l_ps_liq l_caprt) instruments (credit: l1_tbiret l2_tbiret l3_tbiret l1_tighten_chg l2_tighten_chg l3_tighten_chg l1_propsold_chg l2_propsold_chg l3_propsold_chg l_tbill l_termspread l_defspread l_infla l_mkt l_smb l_hml l_umd l_ps_liq l_caprt) instruments (liquidity: l1_tbiret l2_tbiret l3_tbiret l1_tighten_chg l2_tighten_chg l3_tighten_chg l1_propsold_chg l2_propsold_chg l3_propsold_chg l_tbill l_termspread l_defspread l_infla l_mkt l_smb l_hml l_umd l_ps_liq l_caprt) winitial (unadjusted, indep) 
test [l1_tighten_iv2_chg_eq1]_cons [l2_tighten_iv2_chg_eq1]_cons [l3_tighten_iv2_chg_eq1]_cons



***************************************************************************************************
* Table 5: Private Market VAR Results with Investor Demand Proxies
***************************************************************************************************


*****************************************************************
*Panel A - Using Investor Sentiment as Proxy for Investor Demand*
*****************************************************************

var tbiret tighten_chg propsold_chg sent_chg, lag(1/3) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.caprt)
test  ([tbiret]: L1.tbiret L2.tbiret L3.tbiret )
test  ([tbiret]: L1.tighten_chg L2.tighten_chg L3.tighten_chg)
test  ([tbiret]: L1.propsold_chg L2.propsold_chg L3.propsold_chg)
test  ([tbiret]: L1.sent_chg L2.sent_chg L3.sent_chg)
test  ([tighten_chg]: L1.tbiret L2.tbiret L3.tbiret )
test  ([tighten_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg)
test  ([tighten_chg]: L1.propsold_chg L2.propsold_chg L3.propsold_chg)
test  ([tighten_chg]: L1.sent_chg L2.sent_chg L3.sent_chg)
test  ([propsold_chg]: L1.tbiret L2.tbiret L3.tbiret )
test  ([propsold_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg)
test  ([propsold_chg]: L1.propsold_chg L2.propsold_chg L3.propsold_chg)
test  ([propsold_chg]: L1.sent_chg L2.sent_chg L3.sent_chg)
test  ([sent_chg]: L1.tbiret L2.tbiret L3.tbiret )
test  ([sent_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg)
test  ([sent_chg]: L1.propsold_chg L2.propsold_chg L3.propsold_chg)
test  ([sent_chg]: L1.sent_chg L2.sent_chg L3.sent_chg)

************************************************************************
*Panel B - Using Commercial Mortgage Flows as Proxy for Investor Demand*
************************************************************************

var tbiret tighten_chg propsold_chg mtgflow_chg, lag(1/3) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.caprt)
test  ([tbiret]: L1.tbiret L2.tbiret L3.tbiret )
test  ([tbiret]: L1.tighten_chg L2.tighten_chg L3.tighten_chg)
test  ([tbiret]: L1.propsold_chg L2.propsold_chg L3.propsold_chg)
test  ([tbiret]: L1.mtgflow_chg L2.mtgflow_chg L3.mtgflow_chg)
test  ([tighten_chg]: L1.tbiret L2.tbiret L3.tbiret )
test  ([tighten_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg)
test  ([tighten_chg]: L1.propsold_chg L2.propsold_chg L3.propsold_chg)
test  ([tighten_chg]: L1.mtgflow_chg L2.mtgflow_chg L3.mtgflow_chg)
test  ([propsold_chg]: L1.tbiret L2.tbiret L3.tbiret )
test  ([propsold_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg)
test  ([propsold_chg]: L1.propsold_chg L2.propsold_chg L3.propsold_chg)
test  ([propsold_chg]: L1.mtgflow_chg L2.mtgflow_chg L3.mtgflow_chg)
test  ([mtgflow_chg]: L1.tbiret L2.tbiret L3.tbiret )
test  ([mtgflow_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg)
test  ([mtgflow_chg]: L1.propsold_chg L2.propsold_chg L3.propsold_chg)
test  ([mtgflow_chg]: L1.mtgflow_chg L2.mtgflow_chg L3.mtgflow_chg)

clear

***************************************************************************************************
* Table 6: Descriptive Statistics - Public Commercial Real Estate Markets
***************************************************************************************************

insheet using public_market_analysis.txt
tsset qtr_num

sum reitret reitliq tedspread divyld, d
correl reitret l.reitret
correl reitliq l.reitliq
correl tedspread l.tedspread
correl divyld l.divyld

***************************************************************************************************
* Table 7:  VAR Results - Credit Availability and Public Market Returns 
***************************************************************************************************

*****************************************************************
*Panel A - tighten_chg*
*****************************************************************

var reitret tighten_chg reitliq_chg sent_chg, lag(1/4) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.divyld)
test  ([reitret]: L1.reitret L2.reitret L3.reitret L4.reitret )
test  ([reitret]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg )
test  ([reitret]: L1.reitliq_chg L2.reitliq_chg L3.reitliq_chg L4.reitliq_chg )
test  ([reitret]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )
test  ([tighten_chg]: L1.reitret L2.reitret L3.reitret L4.reitret )
test  ([tighten_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg )
test  ([tighten_chg]: L1.reitliq_chg L2.reitliq_chg L3.reitliq_chg L4.reitliq_chg )
test  ([tighten_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )
test  ([reitliq_chg]: L1.reitret L2.reitret L3.reitret L4.reitret )
test  ([reitliq_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg )
test  ([reitliq_chg]: L1.reitliq_chg L2.reitliq_chg L3.reitliq_chg L4.reitliq_chg )
test  ([reitliq_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )
test  ([sent_chg]: L1.reitret L2.reitret L3.reitret L4.reitret )
test  ([sent_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg )
test  ([sent_chg]: L1.reitliq_chg L2.reitliq_chg L3.reitliq_chg L4.reitliq_chg )
test  ([sent_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )

*****************************************************************
*Panel B - tightena_chg*
*****************************************************************

var reitret tightena_chg reitliq_chg sent_chg, lag(1/4) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.divyld)
test  ([reitret]: L1.reitret L2.reitret L3.reitret L4.reitret )
test  ([reitret]: L1.tightena_chg L2.tightena_chg L3.tightena_chg L4.tightena_chg )
test  ([reitret]: L1.reitliq_chg L2.reitliq_chg L3.reitliq_chg L4.reitliq_chg )
test  ([reitret]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )
test  ([tightena_chg]: L1.reitret L2.reitret L3.reitret L4.reitret )
test  ([tightena_chg]: L1.tightena_chg L2.tightena_chg L3.tightena_chg L4.tightena_chg )
test  ([tightena_chg]: L1.reitliq_chg L2.reitliq_chg L3.reitliq_chg L4.reitliq_chg )
test  ([tightena_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )
test  ([reitliq_chg]: L1.reitret L2.reitret L3.reitret L4.reitret )
test  ([reitliq_chg]: L1.tightena_chg L2.tightena_chg L3.tightena_chg L4.tightena_chg )
test  ([reitliq_chg]: L1.reitliq_chg L2.reitliq_chg L3.reitliq_chg L4.reitliq_chg )
test  ([reitliq_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )
test  ([sent_chg]: L1.reitret L2.reitret L3.reitret L4.reitret )
test  ([sent_chg]: L1.tightena_chg L2.tightena_chg L3.tightena_chg L4.tightena_chg )
test  ([sent_chg]: L1.reitliq_chg L2.reitliq_chg L3.reitliq_chg L4.reitliq_chg )
test  ([sent_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )


*****************************************************************
*Panel C - margin_chg*
*****************************************************************

var reitret margin_chg reitliq_chg sent_chg, lag(1/4) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.divyld)
test  ([reitret]: L1.reitret L2.reitret L3.reitret L4.reitret )
test  ([reitret]: L1.margin_chg L2.margin_chg L3.margin_chg L4.margin_chg )
test  ([reitret]: L1.reitliq_chg L2.reitliq_chg L3.reitliq_chg L4.reitliq_chg )
test  ([reitret]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )
test  ([margin_chg]: L1.reitret L2.reitret L3.reitret L4.reitret )
test  ([margin_chg]: L1.margin_chg L2.margin_chg L3.margin_chg L4.margin_chg )
test  ([margin_chg]: L1.reitliq_chg L2.reitliq_chg L3.reitliq_chg L4.reitliq_chg )
test  ([margin_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )
test  ([reitliq_chg]: L1.reitret L2.reitret L3.reitret L4.reitret )
test  ([reitliq_chg]: L1.margin_chg L2.margin_chg L3.margin_chg L4.margin_chg )
test  ([reitliq_chg]: L1.reitliq_chg L2.reitliq_chg L3.reitliq_chg L4.reitliq_chg )
test  ([reitliq_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )
test  ([sent_chg]: L1.reitret L2.reitret L3.reitret L4.reitret )
test  ([sent_chg]: L1.margin_chg L2.margin_chg L3.margin_chg L4.margin_chg )
test  ([sent_chg]: L1.reitliq_chg L2.reitliq_chg L3.reitliq_chg L4.reitliq_chg )
test  ([sent_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )

*****************************************************************
*Panel D - tedspread_chg*
*****************************************************************

var reitret tedspread_chg reitliq_chg sent_chg, lag(1/4) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.divyld)
test  ([reitret]: L1.reitret L2.reitret L3.reitret L4.reitret )
test  ([reitret]: L1.tedspread_chg L2.tedspread_chg L3.tedspread_chg L4.tedspread_chg )
test  ([reitret]: L1.reitliq_chg L2.reitliq_chg L3.reitliq_chg L4.reitliq_chg )
test  ([reitret]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )
test  ([tedspread_chg]: L1.reitret L2.reitret L3.reitret L4.reitret )
test  ([tedspread_chg]: L1.tedspread_chg L2.tedspread_chg L3.tedspread_chg L4.tedspread_chg )
test  ([tedspread_chg]: L1.reitliq_chg L2.reitliq_chg L3.reitliq_chg L4.reitliq_chg )
test  ([tedspread_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )
test  ([reitliq_chg]: L1.reitret L2.reitret L3.reitret L4.reitret )
test  ([reitliq_chg]: L1.tedspread_chg L2.tedspread_chg L3.tedspread_chg L4.tedspread_chg )
test  ([reitliq_chg]: L1.reitliq_chg L2.reitliq_chg L3.reitliq_chg L4.reitliq_chg )
test  ([reitliq_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )
test  ([sent_chg]: L1.reitret L2.reitret L3.reitret L4.reitret )
test  ([sent_chg]: L1.tedspread_chg L2.tedspread_chg L3.tedspread_chg L4.tedspread_chg )
test  ([sent_chg]: L1.reitliq_chg L2.reitliq_chg L3.reitliq_chg L4.reitliq_chg )
test  ([sent_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )

clear

*********************************************************************************************************
* Table 8: Descriptive Statistics  Public Commercial Real Estate Leverage and Liquidity Portfolio Sorts 
*********************************************************************************************************

insheet using public_market_lev_liq_sort.txt

*****************************************************************
*Panel A - Leverage*
*****************************************************************

sum leverage if hilev_loliq==1, d
sum leverage if hilev_hiliq==1, d
sum leverage if lolev_loliq==1, d
sum leverage if lolev_hiliq==1, d



*****************************************************************
*Panel B - Amihud Liquidity Measure*
*****************************************************************
sum liq if hilev_loliq==1, d
sum liq if hilev_hiliq==1, d
sum liq if lolev_loliq==1, d
sum liq if lolev_hiliq==1, d

clear

*****************************************************************
*Panel C - Price Return Series*
*****************************************************************

insheet using public_market_analysis.txt
tsset qtr_num

sum hilev_loliq_ret hilev_hiliq_ret lolev_loliq_ret lolev_hiliq_ret, d
correl hilev_loliq_ret l.hilev_loliq_ret
correl hilev_hiliq_ret l.hilev_hiliq_ret
correl lolev_loliq_ret l.lolev_loliq_ret
correl lolev_hiliq_ret l.lolev_hiliq_ret

*****************************************************************************************************************
*Table 9: VAR Results - Credit Availability and Public Market Returns using Leverage-Liquidity Portfolio Sorts *
*****************************************************************************************************************

*Low Leverage - Low Liquidity Portfolio*

var  lolev_loliq_ret tighten_chg  lolev_loliq_liq_chg sent_chg, lag(1/4) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.divyld)
test  ([lolev_loliq_ret]: L1.lolev_loliq_ret L2.lolev_loliq_ret L3.lolev_loliq_ret L4.lolev_loliq_ret)
test  ([lolev_loliq_ret]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg)
test  ([lolev_loliq_ret]: L1.lolev_loliq_liq_chg L2.lolev_loliq_liq_chg L3.lolev_loliq_liq_chg L4.lolev_loliq_liq_chg)
test  ([lolev_loliq_ret]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg)
test  ([tighten_chg]: L1.lolev_loliq_ret L2.lolev_loliq_ret L3.lolev_loliq_ret L4.lolev_loliq_ret)
test  ([tighten_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg)
test  ([tighten_chg]: L1.lolev_loliq_liq_chg L2.lolev_loliq_liq_chg L3.lolev_loliq_liq_chg L4.lolev_loliq_liq_chg)
test  ([tighten_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg)
test  ([lolev_loliq_liq_chg]: L1.lolev_loliq_ret L2.lolev_loliq_ret L3.lolev_loliq_ret L4.lolev_loliq_ret)
test  ([lolev_loliq_liq_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg)
test  ([lolev_loliq_liq_chg]: L1.lolev_loliq_liq_chg L2.lolev_loliq_liq_chg L3.lolev_loliq_liq_chg L4.lolev_loliq_liq_chg)
test  ([lolev_loliq_liq_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg)
test  ([sent_chg]: L1.lolev_loliq_ret L2.lolev_loliq_ret L3.lolev_loliq_ret L4.lolev_loliq_ret)
test  ([sent_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg)
test  ([sent_chg]: L1.lolev_loliq_liq_chg L2.lolev_loliq_liq_chg L3.lolev_loliq_liq_chg L4.lolev_loliq_liq_chg)
test  ([sent_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg)

*High Leverage - Low Liquidity Portfolio*

var  hilev_loliq_ret tighten_chg  hilev_loliq_liq_chg sent_chg, lag(1/4) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.divyld)
test  ([hilev_loliq_ret]: L1.hilev_loliq_ret L2.hilev_loliq_ret L3.hilev_loliq_ret L4.hilev_loliq_ret)
test  ([hilev_loliq_ret]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg)
test  ([hilev_loliq_ret]: L1.hilev_loliq_liq_chg L2.hilev_loliq_liq_chg L3.hilev_loliq_liq_chg L4.hilev_loliq_liq_chg)
test  ([hilev_loliq_ret]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg)
test  ([tighten_chg]: L1.hilev_loliq_ret L2.hilev_loliq_ret L3.hilev_loliq_ret L4.hilev_loliq_ret)
test  ([tighten_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg)
test  ([tighten_chg]: L1.hilev_loliq_liq_chg L2.hilev_loliq_liq_chg L3.hilev_loliq_liq_chg L4.hilev_loliq_liq_chg)
test  ([tighten_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg)
test  ([hilev_loliq_liq_chg]: L1.hilev_loliq_ret L2.hilev_loliq_ret L3.hilev_loliq_ret L4.hilev_loliq_ret)
test  ([hilev_loliq_liq_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg)
test  ([hilev_loliq_liq_chg]: L1.hilev_loliq_liq_chg L2.hilev_loliq_liq_chg L3.hilev_loliq_liq_chg L4.hilev_loliq_liq_chg)
test  ([hilev_loliq_liq_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg)
test  ([sent_chg]: L1.hilev_loliq_ret L2.hilev_loliq_ret L3.hilev_loliq_ret L4.hilev_loliq_ret)
test  ([sent_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg)
test  ([sent_chg]: L1.hilev_loliq_liq_chg L2.hilev_loliq_liq_chg L3.hilev_loliq_liq_chg L4.hilev_loliq_liq_chg)
test  ([sent_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg)

*Low Leverage - High Liquidity Portfolio*
var  lolev_hiliq_ret tighten_chg  lolev_hiliq_liq_chg sent_chg, lag(1/4) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.divyld)
test  ([lolev_hiliq_ret]: L1.lolev_hiliq_ret L2.lolev_hiliq_ret L3.lolev_hiliq_ret L4.lolev_hiliq_ret)
test  ([lolev_hiliq_ret]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg)
test  ([lolev_hiliq_ret]: L1.lolev_hiliq_liq_chg L2.lolev_hiliq_liq_chg L3.lolev_hiliq_liq_chg L4.lolev_hiliq_liq_chg)
test  ([lolev_hiliq_ret]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg)
test  ([tighten_chg]: L1.lolev_hiliq_ret L2.lolev_hiliq_ret L3.lolev_hiliq_ret L4.lolev_hiliq_ret)
test  ([tighten_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg)
test  ([tighten_chg]: L1.lolev_hiliq_liq_chg L2.lolev_hiliq_liq_chg L3.lolev_hiliq_liq_chg L4.lolev_hiliq_liq_chg)
test  ([tighten_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg)
test  ([lolev_hiliq_liq_chg]: L1.lolev_hiliq_ret L2.lolev_hiliq_ret L3.lolev_hiliq_ret L4.lolev_hiliq_ret)
test  ([lolev_hiliq_liq_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg)
test  ([lolev_hiliq_liq_chg]: L1.lolev_hiliq_liq_chg L2.lolev_hiliq_liq_chg L3.lolev_hiliq_liq_chg L4.lolev_hiliq_liq_chg)
test  ([lolev_hiliq_liq_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg)
test  ([sent_chg]: L1.lolev_hiliq_ret L2.lolev_hiliq_ret L3.lolev_hiliq_ret L4.lolev_hiliq_ret)
test  ([sent_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg)
test  ([sent_chg]: L1.lolev_hiliq_liq_chg L2.lolev_hiliq_liq_chg L3.lolev_hiliq_liq_chg L4.lolev_hiliq_liq_chg)
test  ([sent_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg)


*High Leverage - High Liquidity Portfolio*

var  hilev_hiliq_ret tighten_chg  hilev_hiliq_liq_chg sent_chg, lag(1/4) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.divyld)
test  ([hilev_hiliq_ret]: L1.hilev_hiliq_ret L2.hilev_hiliq_ret L3.hilev_hiliq_ret L4.hilev_hiliq_ret)
test  ([hilev_hiliq_ret]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg)
test  ([hilev_hiliq_ret]: L1.hilev_hiliq_liq_chg L2.hilev_hiliq_liq_chg L3.hilev_hiliq_liq_chg L4.hilev_hiliq_liq_chg)
test  ([hilev_hiliq_ret]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg)
test  ([tighten_chg]: L1.hilev_hiliq_ret L2.hilev_hiliq_ret L3.hilev_hiliq_ret L4.hilev_hiliq_ret)
test  ([tighten_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg)
test  ([tighten_chg]: L1.hilev_hiliq_liq_chg L2.hilev_hiliq_liq_chg L3.hilev_hiliq_liq_chg L4.hilev_hiliq_liq_chg)
test  ([tighten_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg)
test  ([hilev_hiliq_liq_chg]: L1.hilev_hiliq_ret L2.hilev_hiliq_ret L3.hilev_hiliq_ret L4.hilev_hiliq_ret)
test  ([hilev_hiliq_liq_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg)
test  ([hilev_hiliq_liq_chg]: L1.hilev_hiliq_liq_chg L2.hilev_hiliq_liq_chg L3.hilev_hiliq_liq_chg L4.hilev_hiliq_liq_chg)
test  ([hilev_hiliq_liq_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg)
test  ([sent_chg]: L1.hilev_hiliq_ret L2.hilev_hiliq_ret L3.hilev_hiliq_ret L4.hilev_hiliq_ret)
test  ([sent_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg)
test  ([sent_chg]: L1.hilev_hiliq_liq_chg L2.hilev_hiliq_liq_chg L3.hilev_hiliq_liq_chg L4.hilev_hiliq_liq_chg)
test  ([sent_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg)

clear

*****************************************************************************************************************
*Table 10: Descriptive Statistics  - REIT Preferred Equity Shares *
*****************************************************************************************************************

*****************************************************************
*Panel A - Individual REIT Characteristics*
*****************************************************************
insheet using public_market_lev_liq_sort.txt
sum leverage if reitpref_id==1, d
clear

insheet using reit_preferred_issuance_list.txt
sum numberofissues, d
clear

*****************************************************************
*Panel B - REIT Preferred Portfolio Characteristics*
*****************************************************************

insheet using public_market_analysis.txt
tsset qtr_num

sum reitpref reitpr_liq reitpr_divyld, d
correl reitpref l.reitpref
correl reitpr_liq l.reitpr_liq
correl reitpr_divyld l.reitpr_divyld

*****************************************************************************************************************
*Table 11: VAR Results - Credit Availability and Preferred Equity Public Market Returns *
*****************************************************************************************************************

var  reitpref tighten_chg reitpr_liq_chg sent_chg, lag(1/4) exog(l.tbill l.termspread l.defspread l.infla l.mkt l.smb l.hml l.umd l.ps_liq l.reitpr_divyld)
test  ([reitpref]: L1.reitpref L2.reitpref L3.reitpref L4.reitpref )
test  ([reitpref]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg )
test  ([reitpref]: L1.reitpr_liq_chg L2.reitpr_liq_chg L3.reitpr_liq_chg L4.reitpr_liq_chg )
test  ([reitpref]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )
test  ([tighten_chg]: L1.reitpref L2.reitpref L3.reitpref L4.reitpref )
test  ([tighten_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg )
test  ([tighten_chg]: L1.reitpr_liq_chg L2.reitpr_liq_chg L3.reitpr_liq_chg L4.reitpr_liq_chg )
test  ([tighten_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )
test  ([reitpr_liq_chg]: L1.reitpref L2.reitpref L3.reitpref L4.reitpref )
test  ([reitpr_liq_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg )
test  ([reitpr_liq_chg]: L1.reitpr_liq_chg L2.reitpr_liq_chg L3.reitpr_liq_chg L4.reitpr_liq_chg )
test  ([reitpr_liq_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )
test  ([sent_chg]: L1.reitpref L2.reitpref L3.reitpref L4.reitpref )
test  ([sent_chg]: L1.tighten_chg L2.tighten_chg L3.tighten_chg L4.tighten_chg )
test  ([sent_chg]: L1.reitpr_liq_chg L2.reitpr_liq_chg L3.reitpr_liq_chg L4.reitpr_liq_chg )
test  ([sent_chg]: L1.sent_chg L2.sent_chg L3.sent_chg L4.sent_chg )

clear


