#################################################################################
# This file provides a description of the data used in the paper                #
# "US Monetary Policy and International Bond Markets."                          #
#                                                                               #
# AUTHORS: Simon Gilchrist, Vivian Yue, Egon Zakrajsek                          #
# YEAR:    2019                                                                 #
# JOURNAL: Journal of Money, Credit, and Banking                                #
#################################################################################


(1) Security-level bond data: The daily price data on individual dollar-denominated
    sovereign bonds (along with other bond characteristics) were downloaded from the 
    Thompson Reuters (T/R) Datastream database. The Federal Reserve Board's contract
    with T/R prohibits the sharing of the micro-level data with users outside the 
    Federal Reserve Board. However, we have provided data that have been aggregated 
    to the portfolio level and which were used to generate results reported in Tables 
    2, 3, 4, 5, 7, and 8 of the paper. 

(2) Portfolio-level (Stata) data sets:
    - BOND_WPORTFOLIO_DR = dataset containing 2- and 6-day changes in sovereign 
                           bond portfolio yields sorted by duration
    - BOND_WPORTFOLIO_CR = dataset containing 2- and 6-day changes in sovereign 
                           bond portfolio yields sorted by credit risk
    -   FX_WPORTFOLIO_CR = dataset containing 2- and 6-day (log) returns in local
                           currency portfolios sorted by credit risk
    NOTE:
    - For variable name nomenclature, see the comments of the Stata programs in
      the associated directory JMCB-18-055-Programs.  

     
