____________________________________________________________________________________________________ This file provides a detailed description of and information on ways to access the data used for the analyses conducted in the accepted paper Henning Fischer & Oscar Stolper, "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants", Journal of Economics and Statistics, forthcoming. ____________________________________________________________________________________________________ **************************************************************************************************** ************************* Main variables ************************* **************************************************************************************************** *************************************************************************** SPREAD: ******************** ICE BofA US High Yield Master II Index (formerly: Bank of America Merrill Lynch US High Yield Master II) Option-Adjusted Spread [BAMLH0A0HYM2]: daily time series retrieved from FRED, Federal Reserve Bank of St. Louis, https://fred.stlouisfed.org/series/BAMLH0A0HYM2 *************************************************************************** YC_LEVEL: ******************** Board of Governors of the Federal Reserve System (US), 10-Year Treasury Constant Maturity Rate [DGS10]; daily time series retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS10 *************************************************************************** YC_SLOPE: ******************** derived as the difference between - Board of Governors of the Federal Reserve System (US), 10-Year Treasury Constant Maturity Rate [DGS10]; daily time series retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS10 and - Board of Governors of the Federal Reserve System (US), 3-Month Treasury Constant Maturity Rate [DGS3MO]; daily time series retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS3MO *************************************************************************** STOCK_RET: ******************** returns derived as weekly averages of daily log returns of the S&P 500 price index computed for all trading days on the New York Stock Exchange within the respective week at hand; daily time series of adjusted closing prices for the S&P 500 index retrieved from Thomson Reuters Datastream [FPNA01Y(PI)] *************************************************************************** VIX: ******************** Chicago Board Options Exchange Volatility Index (VIX Index); daily time series of index closing prices computed using the new VIX methodology based on S&P 500 Index puts and calls retrieved from the CBOE webpage; https://www.cboe.com/products/vix-index-volatility/vix-options-and-futures/vix-index/vix-historical-data - VIX data for 1990-2003 period: https://www.cboe.com/publish/scheduledtask/mktdata/datahouse/vixarchive.xls - VIX data for 2004-2016 period: https://www.cboe.com/publish/scheduledtask/mktdata/datahouse/vixcurrent.csv *************************************************************************** ILLIQUID: ******************** 'noise' measure introduced by Hu, G.X., Pan, J., Wang, J. 2013. "Noise as Information for Illiquidity". Journal of Finance (68), 2341–2382; daily time series retrieved from http://www.mit.edu/~junpan/ (updated versions kindly made available by Jun Pan meanwhile via her new homepage at http://en.saif.sjtu.edu.cn/junpan/) *************************************************************************** **************************************************************************************************** ************************* Variables used for robustness analyses ************************* **************************************************************************************************** *************************************************************************** TED spread: ******************** derived as the difference between - 3-month USD LIBOR (London Interbank Offered Rate); daily time series retrieved from Thomson Reuters Datastream [BBUSD3M(IO)] and - Board of Governors of the Federal Reserve System (US), 3-Month Treasury Constant Maturity Rate [DGS3MO]; daily time series retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS3MO *************************************************************************** LIBOR-OIS spread: ******************** derived as the difference between - 3-month USD LIBOR (London Interbank Offered Rate); daily time series retrieved from Thomson Reuters Datastream [BBUSD3M(IO)] and - 3-month USD OIS (Overnight Index Swap) middle rate; daily time series retrieved from Thomson Reuters Datastream [OIUSD3M(IR)] *************************************************************************** PD: ******************** Fitch Ratings' 1-Year-Ahead Probability of Default (PD) Index for North America; daily time series retrieved from Thomson Reuters Datastream [FPNA01Y(PI)] ***************************************************************************