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Files available:
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NameTypeDescription
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1daily.dtaStata dataset (8.0)Daily data of ratings and spreads (used for Figure 1)
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2data.dtaStata dataset (8.0)Annual data used in regressions (see the other sheets in this file for more details)
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The data is also available in Excel format in the sheet in this file titled "data"
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3readdata.prgEviews Program (4.1)The data was first read in and ratings assigned in this program. The final output
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was transferred to Stata format (data.dta) and then the program stata_ratings.do was run
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4stata.doStata do file (8.0)The program codes including regressions and figures
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5tables.xlsExcel FileAll tables, figures and output for the paper, including those omitted from the final version.
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