
READ ME FILE for
"Treasury safety, liquidity, and money premium dynamics: Evidence from debt limit impasses"
Authors:  David Cashin, Erin Ferris, and Elizabeth Klee
Contact: Cashin (david.b.cashin@frb.gov); Ferris (erin.e.ferris@frb.gov); Klee (elizabeth.c.klee@frb.gov)
Date: October 25, 2022

1. Overview

This folder contains the non-confidential components of the replication materials for "Treasury safety, liquidity, and money premium dynamics: Evidence from debt limit impasses" by David Cashin, Erin Ferris, and Elizabeth Klee.

The folder includes all public-use data sets used in the study (found in ./data/Input_files/Public). Proprietary data sets have not been released, but would be read from .data/Input_files/Proprietary. As such, the public replication scripts will NOT run as-is, but can be used as a reference for how variables, regression results, tables, and figures were produced. Users with access to the proprietary data can follow directions below to construct the directory structure and run files.


2. Software and system requirements

We used STATA version 16.1. The Stata code was originally run on a Linux cluster with 384Gb memory allocation on 6 nodes. The code takes roughly 24 hours to complete.


3. Program lists and instructions for replication

The Stata .do file, ./DoFiles/jmcb_accepted_submission.do, inputs all data (confidential and public), estimates all regressions, and produces the tables and figures for the main text of the paper and online appendices. To run the replication scripts, users with access to confidential data may place relevant files in the .data/Input_files/Proprietary folder. A full repository containing confidential data are saved on Fed Board servers at /mma/treasYield/JMCB_Acceptance_Code_and_data. Please direct questions about schema and format of confidential data to the authors.

The directory structure is as follows:

 `Working Directory'  -----Data 
                       |
			   ------ Input_files
	                       |
				------Proprietary (Contains the data that requires licenses in csv format)
	                       |
				------Public (Contains the publicly available data in csv format)	
                       |
			   ------ Created_files (Data sets derived from input files)
                       |
                       ----Data_Dictionary (.csv file with the list of variables downloaded from proprietary data sources)
                       |
                       ----DoFiles (contains jmcb_accepted_submission.do)
                       |
                       |
                        ----Output (contains output generated by .do file)


The sub-directory "Public" contains the following publicly available data in .csv format:
(a) auctions_1.csv: Treasury auction query data pulled from the Treasury website, grouped by 1000 observations
(b) auctions_2.csv: Treasury auction query data pulled from the Treasury website, grouped by 1000 observations
(c) auctions_3.csv: Treasury auction query data pulled from the Treasury website, grouped by 1000 observations
(d) auctions_4.csv: Treasury auction query data pulled from the Treasury website, grouped by 1000 observations
(e) auctions_5.csv: Treasury auction query data pulled from the Treasury website, grouped by 1000 observations
(f) auctions_6.csv: Treasury auction query data pulled from the Treasury website, grouped by 1000 observations
(g) auctions_7.csv: Treasury auction query data pulled from the Treasury website, grouped by 1000 observations
(h) auctions_8.csv: Treasury auction query data pulled from the Treasury website, grouped by 1000 observations
(i) constant_maturity.csv: Daily data on constant maturity Treasury securities, pulled from the Federal Reserve website
(j) effr.csv: The daily effective federal funds rate from FRED at the St. Louis Fed
(k) fomc_dates.csv: Dates of FOMC meetings
(l) sveny_curve.csv: The yield curve estimation from Gurkaynak, Sack, and Wright (2007)
(m) TEDRATE.csv: The ted spread from FRED at the St. Louis Fed

The sub-directory "Proprietary" contains the following proprietary data in .csv format. Please see ./Data_Dictionary/proprietary_downloaded_vars for the full list of downloaded variables from these proprietary data sources:
(a) crsp_treasury_1990_2019_for_submission.csv: Data downloaded from Wharton Research Data Services (WRDS) Center for Research in Security Prices (CRSP) on daily Treasury securities (e.g. CUSIP, issuance date, maturity date, annualized yield, bid-ask spread, etc.) from 1990-2019.  
(b) fannie_cusips_2010_2013.csv: File downloaded from a Federal Reserve Board Bloomberg terminal. The file contains information on invdividual Fannie Mae discount note securities with daily observations between 1/1/2010 and 12/31/2014. 
(c) fannie_for_bloomberg.csv: File downloaded from a Federal Reserve Board Bloomberg terminal. The file contains the daily yields of securities in the fannie_cusips_2010_2013.csv file.  Includes the date, security cusip, and yield.
(d) ff.csv: File downloaded from a Federal Reserve Board Bloomberg terminal. The file contains historical business daily yields for the 11- and 12-month Federal Funds Futures Contracts from 1991 through 2020.
(e) securities.csv: File downloaded from a Federal Reserve Board Bloomberg terminal. The file contains historical business daily yields for the 1- to 10-month Federal Funds Futures Contracts from 1991 through 2020.
(f) markit_cds_data: Data downloaded from WRDS Markit for daily US government Credit Default Swap Spreads from 2004-2019.  
(g) ois_updated.csv: File downloaded from a Federal Reserve Board Bloomberg terminal. Includes yields on Overnight Index Swap contracts of various tenors from 2001-2020. 
(h) refcorp_combined.csv: File downloaded from a Federal Reserve Board Bloomberg terminal. Includes the yields of Resolution Funding Corporation (Refcorp) securities at the 3-month, 6-month, 1-year, 5-year, and 10-year tenors.
(i) two_year_futures.csv: Data downloaded from CME Datamine. Data include the two-year Treasury futures contract.

*References
Gurkaynak, Refet, Brian Sack, and Jonathan Wright. (2007). "The U.S. Treasury Yield Curve: 1961 to the Present." Journal of Monetary Economics 54 (8).