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File Descriptions
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High-frequency financial shock series constructed in "Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification"
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> Authors: Pablo Ottonello and Wenting Song
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> Sample: 1998 - 2020
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> Unit of financial shocks: Percent
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> Updated: December 2023
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File Contents
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The spreadsheet contains three tabs for financial shocks at levels of aggregation
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1. "shock-level": most disaggregated series, broad financial shocks for each financial intermediary-earnings announcement pair, based on 60-minute windows
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2. "datetime-level": times series of broad financial shocks, based on 60-minute windows
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3. "daily-level": times series of broad financial shocks aggregated to daily frequency, as well as purged financial shocks
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Variable Descriptions
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1. Tab: "shock-level"
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> datetime: time of financial shocks (earnings releases of financial intermediaries)
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> ticker_taq: ticker of the earnings-releasing intermediary; see Table 1 in the paper for the mapping to the full name
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> vf: broad financial shocks, based on 60-minute windows around intermediaries' earnings releases during trading hours
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> vf_outside: broad financial shocks, based on 60-minute windows around intermediaries' earnings releases (including earnings released outside trading hours)
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2. Tab: "datetime-level"
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> datetime: time of financial shocks
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> vf: broad financial shocks, based on 60-minute windows around intermediaries' earnings releases during trading hours
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> vf_outside: broad financial shocks, based on 60-minute windows around intermediaries' earnings releases (including earnings released outside trading hours)
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3. Tab: "daily-level"
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> date: date of financial shock
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> vf: broad financial shock aggregated to daily frequency
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> vf_outside: broad financial shock aggregated to daily frequency (including earnings released outside trading hours)
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> vf_purged: financial shocks purged of news about nonfinancial firms’ conditions using sign restrictions
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Notes:
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1. Shocks series reported in percent.
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2. In the "daily" tab, shocks that occur after trading hours adjusted for the next trading days.
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