README for dta and do-files to reproduce results from "A Note of Caution on Quantifying Banks' Recapitalization Effects"

1. JMCB_graph.dta includes all variables to produce both panels of Figure 1. 

Variables are:

ndp_ac_euratio "Valued at amortized cost"
ndp_fv_euratio "Fair valued"
ndp_afs_eufvratio "Available for sale" 
ndp_hft_eufvratio "Held for trading"
ndp_fvobb_eufvratio "Designatedat fair value through profit or loss" 
period "Date"
bank_code "Bank code"
lei_code "Lei code"
bank_name "Bank name"

Both figures are based on data of the banks considered in the capital exercise 2011 (61 banks), the transparency exercise 2013 (64 banks), 
the stress test 2014 (123 banks), the transparency exercise 2015 (105 banks), and the stress test 2016 (51 banks) as provided by the European Banking Authority (EBA).


     Period |      Freq.     Percent        Cum.
------------+-----------------------------------
     201112 |         61        9.62        9.62
     201206 |         61        9.62       19.24
     201212 |         64       10.09       29.34
     201306 |         64       10.09       39.43
     201312 |        123       19.40       58.83
     201412 |        105       16.56       75.39
     201506 |        105       16.56       91.96
     201512 |         51        8.04      100.00
------------+-----------------------------------
      Total |        634      100.00

2. graphs-JMCB-final.do exercises the commands to produce both panels of Figure 1.

3. JMCB_tables.dta includes all variables to produce the panels of Table 2 and Table 3.

For details on data sources and calculations, see Section 3 of the paper.
Variables are:

bank_name "Bank name"
effect_total_ratio "Est. OMT windfall gain based on all EU gov. debt (in %)"
effect_fv_ratio	"Est. OMT windfall gain based on fair valued EU gov. debt (in %)"
date "Date"
d_giips	"Dummy for GIIPS banks"
t1_fv "Share of fv securities (in % of total) - total"
t2_fv "Share of fv securities (in % of total) - 1 year"
t3_fv "Share of fv securities (in % of total) - 3 years"
t4_fv "Share of fv securities (in % of total) - 5 years"
t1_afs "Share of afs securities (in % of total) - total"
t2_afs "Share of afs securities (in % of total) - 1 year"
t3_afs "Share of afs securities (in % of total) - 3 years"
t4_afs "Share of afs securities (in % of total) - 5 years"
t1_nafs "Share of hft securities (in % of total) - total"
t2_nafs "Share of hft securities (in % of total) - 1 year"
t3_nafs "Share of hft securities (in % of total) - 3 years"
t4_nafs "Share of hft securities (in % of total) - 5 years"
t1_total "Share of all securities (in % of total) - total"
t2_total "Share of all securities (in % of total) - 1 year"
t3_total "Share of all securities (in % of total) - 3 years"
t4_total "Share of all securities (in % of total) - 5 years"
T1_fv "Share of fv windfall gains (in % of total) - total"
T2_fv "Share of fv windfall gains (in % of total) - 1 year"
T3_fv "Share of fv windfall gains (in % of total) - 3 years"
T4_fv "Share of fv windfall gains (in % of total) - 5 years"
T1_afs "Share of afs windfall gains (in % of total) - total"
T2_afs "Share of afs windfall gains (in % of total) - 1 year"
T3_afs "Share of afs windfall gains (in % of total) - 3 years"
T4_afs "Share of afs windfall gains (in % of total) - 5 years"
T1_nafs "Share of hft windfall gains (in % of total) - total"
T2_nafs "Share of hft windfall gains (in % of total) - 1 year"
T3_nafs "Share of hft windfall gains (in % of total) - 3 years"
T4_nafs "Share of hft windfall gains (in % of total) - 5 years"
T1_total "Share of all windfall gains (in % of total) - total"
T2_total "Share of all windfall gains (in % of total) - 1 year"
T3_total "Share of all windfall gains (in % of total) - 3 years"
T4_total "Share of all windfall gains (in % of total) - 5 years"
effect_afs_ratio "Est. OMT windfall gain based on AfS EU gov. debt (in %)"
effect_nafs_ratio "Est. OMT windfall gain based on HfT & dFV EU gov. debt (in %)"
share_giips_fv "Amount of GIIPS securities  to total assets (in %)"
share_giips_total "Amount of GIIPS securities  to total assets (in %)"
share_giips_afs "Amount of GIIPS securities  to total assets (in %)"
share_giips_nafs "Amount of GIIPS securities  to total assets (in %)"

The EBA (https://eba.europa.eu/risk-analysis-and-data/eu-capital-exercise/final-results) reports sovereign bond holdings for 61 banks out of which 49 are part of the sample. 
Thereby, this is the same sample as in Table A10 in 
Acharya, V. V., T. Eisert, C. Eufinger, and C. Hirsch (2017). Whatever it takes: The real effects of unconventional monetary policy. CEPR Discussion Paper 12005.

       Date |      Freq.     Percent        Cum.
------------+-----------------------------------
   20120630 |         49      100.00      100.00
------------+-----------------------------------
      Total |         49      100.00

4. tables-JMCB-final.do exercises the commands to produce all panels of Table 2 and Table 3.



