FX Fixings and Returns around the Clock

Replication codes include a library to replicate all tables and figures from the paper. The data provided is `dummy' data . HERE

The Overnight Drift 

Replication codes include a library to replicate all tables and figures from the paper. The data provided is `dummy' data that is simulated to have similar unconditional moments as the true data. HERE

Subjective Bond Returns and Belief Aggregation 

Replication codes for our aggregation algorithm which is applied to an anonimized panel of individual agent sub jective expected excess bond returns. Also included is an updated series for our accuracy weighted subjective bond return measure and codes to reproduce the main findings in the paper. Finally, we include bonus code that generate a panel of realised zero-coupon excess returns and yields from a publically available data source. HERE

Central Bank Communication and the Yield Curve

ECB Monetary Policy Shocks can be found HERE

ECB meeting dates and times for the target announcement and press conference can be found HERE

Speculation, Disagreement and Interest Rates

Macro disagreement and consensus belief measures can be found HERE

Replication code for term structure figures and survival analysis can be found HERE