Data and Code

(1) The Term Structure of the Excess Bond Premium: Measures and Implications, joint with Simon Gilchrist, Vivian Yue, and Egon Zakrajsek, Policy Hub no. 2021-12, September 2021.

• Data (updated to July2002 through March 2022)
  (daily data for the aggregate EBP as well as the shor-, medium-, and long-run EBP measures)

(2) The Two-Pillar Policy for the RMB (with Urban Jermann and Vivian Zhanwei Yue), forthcoming, Journal of Finance.

• Data and Code 

(3) Racial Disparities in Mortgage Lending: New Evidence based on Processing Time (with Feng Zhao), forthcoming, Review of Corporate Finance Studies.

• Data and Code (coming soon)