Final Project for Empirical Macro. Replicate some results from "Common Shocks in Stocks and Bonds" by Anna Cieslak and Hao Pang.
Downloaded from the Federal Reserve Board website, Nominal Yield Curve. This data is based off the paper The U.S. Treasury Yield Curve: 1961 to the Present (2006) by Refet S. Gurkaynak, Brian Sack, and Jonathan H. Wright.
To download the dataset, click on "CSV". It's about 16 MB as of October 29, 2022.
Data coverage is from 1961-06-14 to 2022-10-21 as of October 29, 2022.
Downloaded from WRDS, for which you will need a subscription/access.
CRSP, Index File on the S&P 500. Data coverage 1962-07-02 to 2021-12-31.
S&P 500 daily data for 2022 is pulled from FRED, using their API.
Script pulls these by scraping the Fed Board website.
Downloaded from Policy Uncertainty website. Click on "USA" country, then scroll down to "US Daily News Index", and click "Download Data".
This data is not a part of the original "Common Shocks..." paper and is used for an extension.
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