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1. This file contains the monetary supply(MS) shock constructed inBelo,Hao, Lin, Qiu and Tong (2026) , "State Ownership, Asset Prices, and Monetary Policy Transmission: A Tale of Two Sectors". Below is a brief desription of the construction of the MS shock. For the contruction details, please refer to the paper.
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2. The MS shock is defined as the following:
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We extract the first principal component of the four standardized moments to construct the empirical proxy for the MS shock. The first is the change in firms' leverage ratios (the first difference of firms' total-debt-to-total-assets ratio at time t). The second is the firms' debt growth (the change in total debt from t-1 to t divided by average total assets over the same periods). The third is the fraction of (abnormal) large leverage ratios at time t (the proportion of firms with leverage ratios above 60% in the entire pooled distribution). The fourth is the abnormal fraction of debt growth rate (the proportion of firms with absolute debt growth rate above 60% in the entire pooled distribution).
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3.Note that we have updated the MS shock to 2024. In Belo,Hao, Lin, Qiu and Tong (2026) , the MS shock is estimated in the sample period of 2005-2018.
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4.Please cite Belo,Hao, Lin, Qiu and Tong (2026) when referring to the data.
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yearMSshock
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20051.0125
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20060.8359
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20071.1647
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20081.5802
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20092.3682
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20103.2650
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20112.4655
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20120.9302
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20130.9378
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20140.2744
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2015-0.6741
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2016-0.9200
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2017-1.7202
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2018-1.7459
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2019-1.9269
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2020-0.7967
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2021-0.2206
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2022-1.7508
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2023-2.4474
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2024-2.6317
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