==============
This README describes the overall structure of the Replication packet for this paper. The code for our project is organized in two steps. First, we have a build file, which takes a number of publicly available price series and concordance files contained in data/raw and prepares them for analysis, saving the prepared version of this data in data/output. Second, we have an analysis file, where we take the output of these files and generate the tables and figures used in our paper. The uppermost directory of the replication folder therefore has the following seven objects:
i. README.md (the file you are reading right now)
ii. README.pdf (the file you are reading right now)
iii. code (a folder)
iv. data (a folder)
v. graphs (a folder for storing output figures)
vi. regs (a folder for storing output regression tables)
vii. instructions.txt (a guide to running the code)
Step 1: Edit line 1 of code/Load_Globals.do so that the global variable user_dir points to your directory which contains this readme file
Step 2: Run code/Master.do. The master file will in turn
a) define the necessary globals
b) run the build file [optional, takes 15 minutes to 1 hour, comment out this line to use the prebuilt output files]
c) run the analysis code to produce the figures and tables in the paper
Most results in the paper are replicable using solely public data, in which case the raw files can be found in the zip file on globalcapitalallocation.com. Tables and figures in the paper which contain references to "Morningstar" in the notes make use of proprietary data. The requirements for building this dataset are described in MNS_Data_Guide.pdf contained in the github repository global-capital-allocation-project/international-currencies-and-capital-allocation.
We provide the code, but not the data, which generates these results for the researcher's interest. The analysis code includes a check to see whether the necessary data files exist before executing each piece of analysis, in order to replicate as many results as possible without needing the full proprietary dataset.
Coppola, Antonio, Matteo Maggiori, Brent Neiman, and Jesse Schreger, “Redrawing the Map of Global Capital Flows: The Role of Cross-Border Financing and Tax Havens,” 2019.
Du, Wenxin, Joanne Im, and Jesse Schreger, “The U.S. Treasury Premium,” Journal of International Economics, 2018, 112, 167–181
He, Zhiguo., Bryan Kelly, and Asaf Manela, “Intermediary asset pricing: New evidence from many asset classes”. Journal of Financial Economics 2017, 126, 1–35.
Gilchrist, Simon and Egon Zakrajšek, “Credit spreads and business cycle fluctuations,” American Economic Review, 2012, 102 (4), 1692–1720.
Maggiori, Matteo, Brent Neiman, and Jesse Schreger, “International Currencies and Capital Allocation,” Forthcoming in Journal of Political Economy, 2019.
Miranda-Agrippino, Silvia, and Hélène Rey, “US Monetary Policy and the Global Financial Cycle,” NBER Working Papers (No. 21722). National Bureau of Economic Research
allmerged.dta
| Variable | Description |
|---|---|
| iso_country_code | Three letter alphanumeric ISO country code. |
| date_q | Integer representing quarterly date in Stata format. |
| F_B_x_Om_i_ni | Flow of Assets, Portfolio Investment, Debt Securities, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| F_B_x_Om_ni_i | Flow of Assets, Portfolio Investment, Debt Securities, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| F_DB_x_Om_i_ni | Flow of Assets, Direct Investment, Debt Instruments, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| F_DB_x_Om_ni_i | Flow of Assets, Direct Investment, Debt Instruments, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| F_DE_x_Om_i_ni | Flow of Assets, Direct Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| F_DE_x_Om_ni_i | Flow of Assets, Direct Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| F_D_x_Om_i_ni | Flow of Assets, Direct Investment, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| F_D_x_Om_ni_i | Flow of Assets, Direct Investment, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| F_E_x_Om_i_ni | Flow of Assets, Portfolio Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| F_E_x_Om_ni_i | Flow of Assets, Portfolio Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| F_OL_x_Om_i_ni | Flow of Assets, Portfolio Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| F_OL_x_Om_ni_i | Flow of Assets, Portfolio Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| F_O_x_Om_i_ni | Flow of Assets, Other Investment, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| F_O_x_Om_ni_i | Flow of Assets, Other Investment, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| F_R_x_Om_i_ni | Flow of Assets, Reserve Assets, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| F_T_x_Om_i_ni | Flow of Assets, Portfolio Investment, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| F_T_x_Om_ni_i | Flow of Assets, Portfolio Investment, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| Q_B_x_Om_i_ni | Stock of Assets, Portfolio Investment, Debt Securities, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| Q_B_x_Om_ni_i | Stock of Assets, Portfolio Investment, Debt Securities, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| Q_DB_x_Om_i_ni | Stock of Assets, Direct Investment, Debt Instruments, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| Q_DB_x_Om_ni_i | Stock of Assets, Direct Investment, Debt Instruments, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| Q_DE_x_Om_i_ni | Stock of Assets, Direct Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| Q_DE_x_Om_ni_i | Stock of Assets, Direct Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| Q_D_x_Om_i_ni | Stock of Assets, Direct Investment, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| Q_D_x_Om_ni_i | Stock of Assets, Direct Investment, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| Q_E_x_Om_i_ni | Stock of Assets, Portfolio Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| Q_E_x_Om_ni_i | Stock of Assets, Portfolio Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| Q_OL_x_Om_i_ni | Stock of Assets, Portfolio Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| Q_OL_x_Om_ni_i | Stock of Assets, Portfolio Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| Q_O_x_Om_i_ni | Stock of Assets, Other Investment, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| Q_O_x_Om_ni_i | Stock of Assets, Other Investment, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| Q_R_x_Om_i_ni | Stock of Assets, Reserve Assets, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| Q_T_x_Om_i_ni | Stock of Assets, Portfolio Investment, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| Q_T_x_Om_ni_i | Stock of Assets, Portfolio Investment, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| f_B_x_Om_i_ni | Flow of Assets as Percentage of Stock in prior quarter, Portfolio Investment, Debt Securities, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| f_B_x_Om_ni_i | Flow of Assets as Percentage of Stock in prior quarter, Portfolio Investment, Debt Securities, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| f_DB_x_Om_i_ni | Flow of Assets as Percentage of Stock in prior quarter, Direct Investment, Debt Instruments, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| f_DB_x_Om_ni_i | Flow of Assets as Percentage of Stock in prior quarter, Direct Investment, Debt Instruments, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| f_DE_x_Om_i_ni | Flow of Assets as Percentage of Stock in prior quarter, Direct Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| f_DE_x_Om_ni_ni | Flow of Assets as Percentage of Stock in prior quarter, Direct Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| f_D_x_Om_ni_ni | Flow of Assets as Percentage of Stock in prior quarter, Direct Investment, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| f_D_x_Om_ni_i | Flow of Assets as Percentage of Stock in prior quarter, Direct Investment, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| f_E_x_Om_i_ni | Flow of Assets as Percentage of Stock in prior quarter, Portfolio Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the iso_country_code; data source is the IMF BoP |
| f_OL_x_Om_i_ni | Flow of Assets as Percentage of Stock in prior quarter, Portfolio Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the iso_country_code; data source is the IMF BoP |
| f_OL_x_Om_ni_i | Flow of Assets as Percentage of Stock in prior quarter, Portfolio Investment, Equity and Investment Fund Shares, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the iso_country_code; data source is the IMF BoP |
| f_O_x_Om_i_ni | Flow of Assets as Percentage of Stock in prior quarter, Other Investment, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| f_O_x_Om_ni_i | Flow of Assets as Percentage of Stock in prior quarter, Other Investment, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_codec; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| f_R_x_Om_i_ni | Flow of Assets as Percentage of Stock in prior quarter, Reserve Assets, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| f_T_x_Om_i_ni | Flow of Assets as Percentage of Stock in prior quarter, Portfolio Investment, US Dollars; Cross-border; All currencies; Source country includes only the country which matches the field iso_country_code; Destination country includes all countries which do not match the field iso_country_code; data source is the IMF BoP |
| f_T_x_Om_ni_i | Flow of Assets as Percentage of Stock in prior quarter, Portfolio Investment, US Dollars; Cross-border; All currencies; Source country includes all countries which do not match the field iso_country_code; Destination country includes only the country which matches the field iso_country_code; data source is the IMF BoP |
| depvar | Three letter alphanumeric ISO currency code, encoded as a string |
| cid | Three letter alphanumeric ISO currency code, encoded as an integer. |
| d_e_eq_wgt | Quarterly log exchange rate change, equally weighted against other G10 currencies. Negative values are appreciations of the base currency |
| lcu_per_usd_SPOT_eop | Exchange rate, number of units of foreign currency purchaseable with one US dollar. |
| e | Log exchange rate bilaterally with the US dollar. |
| d_e | Change in log exchange rate bilaterally with the US dollar |
| d_treasury_premium | Change in treasury premium, taken from Du, Im and Schreger (2018) |
| d_gf | Change in the "global factor" of world asset prices constructed by Miranda-Agrippino and Rey (2018) |
| d_ln_vxo | Change in the log implied volatility on the S&P100 stock index |
| d_log_spx | Log return of the S&P500 index. |
| d_gz_spread | Change in the U.S. corporate bond spread taken from Gilchrist and Zakrajšek (2012) |
| int_value_weighted_inve | Intermediary returns from a value-weighted portfolio of holding companies of New York Federal Reserve primary dealers taken from He, Kelly and Manela (2017) |
| i_diff | Interest rate differential between the country listed in the field iso_country_code and the average of all G10 countries |
| pi_q_diff | Inflation differential (quarterly) between the country listed in the field iso_country_code and the average of all G10 countries |
| pi_y_diff | Inflation differential (annual) between the country listed in the field iso_country_code and the average of all G10 countries |
| dy_q_diff | GDP growth differential (quarterly) between the country listed in the field iso_country_code and the average of all G10 countries |
| dy_y_diff | GDP growth differential (annual) between the country listed in the field iso_country_code and the average of all G10 countries |
| dc_q_diff | Consumption growth differential (quarterly) between the country listed in the field iso_country_code and the average of all G10 countries |
| dc_y_diff | Consumption growth differential (annual) between the country listed in the field iso_country_code and the average of all G10 countries |
| y_gap_diff | Output gap differential between the country listed in the field iso_country_code and the average of all G10 countries |
monthlymerged.dta
| Variable | Description |
|---|---|
| date_m | Integer representing monthly date in Stata format. |
| iso_currency_code | Three letter alphanumeric ISO currency code. |
| d_log_s_eq_wgt | Quarterly log exchange rate change, equally weighted against other G10 currencies. Negative values are appreciations of the base currency |
| d_gf | Change in the "global factor" of world asset prices constructed by Miranda-Agrippino and Rey (2018) |
| d_log_spx | Log return of the S&P500 index. |
| d_ln_vxo | Change in the log implied volatility on the S&P100 stock index |
| d_gz_spread | Change in the U.S. corporate bond spread taken from Gilchrist and Zakrajšek (2012) |
| d_ebp | Intermediary returns from a value-weighted portfolio of holding companies of New York Federal Reserve primary dealers taken from He, Kelly and Manela (2017) |
| d_treasury_premium | Change in treasury premium, taken from Du, Im and Schreger (2018) |
global_q_regression_plus.dta
| Variable | Description |
|---|---|
| date_q | Integer representing quarterly date in Stata format. |
| f_B_x_Om_i_ni | Purchases of foreign bonds as percentage of market value in prior quarter, US Dollars; Cross-border; All currencies; Source country is the United States; All destination countries. Data source is IMF BoP |
| lmns_f_B_x_Om_i_ni | Purchases of foreign bonds as percentage of market value in prior quarter, US Dollars; Cross-border; All currencies; Source country is the United States; All destination countries. Data source is US Mutual Fund universe, Morningstar |
split_q_regresssion_plus.dta
| Variable | Description |
|---|---|
| date_q | Integer representing quarterly date in Stata format |
| depvar | Three letter alphanumeric ISO currency code |
| d_e | Quarterly log exchange rate change of the base currency listed in depvar against the US dollar. Negative values correspond to appreciations of the base currency. Data from Morningstar |
| d_e_eq_wgt | Quarterly log exchange rate change of the base currency equally weighted against other G10 currencies. Negative values correspond to appreciations of the base currency. Data from Morningstar |
| d_broad_dollar | Quarterly log exchange rate change of the US dollar equally weighted against other G10 currencies. Negative values correspond to appreciations of the US dollar. Data from Morningstar |
| f_B_x_ni_ni_niUSA | Cross-border purchases of bonds not issued by country in depvar, in all currencies other than depvar, by US mutual funds, as a percentage of market value of holdings in prior quarter. Data from Morningstar |
| f_B_x_Om_ni_iUSA | Cross-border purchases of bonds issued by country in depvar, by US mutual funds in all currencies, as a percentage of market value of holdings in prior quarter. Data from Morningstar |
| f_BC_x_i_i_ni | Cross-border purchases of foreign corporate bonds issued by country in depvar, in the currency of depvar, as a percentage of market value of holdings in prior quarter. Data from Morningstar |
| f_BC_x_ni_i_ni | Cross-border purchases of foreign corporate bonds issued by country in depvar, in any currency not corresponding to depvar, as a percentage of market value of holdings in prior quarter. Data from Morningstar |
| f_BS_x_i_i_ni | Cross-border purchases of sovereign bonds issued by country in depvar, in the currency of depvar, as a percentage of market value of holdings in prior quarter. Data from Morningstar |
| f_BS_x_ni_i_ni | Cross-border purchases of foreign sovereign bonds issued by country in depvar, in any currency not corresponding to depvar, as a percentage of market value of holdings in prior quarter. Data from Morningstar |
| F_bet_B_Om_Om_Om_OmUSA | Inflows into US mutual funds which hold bonds, weighted by the market values of all bond holdings in prior reporting quarter as a share of AUM. Data from Morningstar |
| F_B_w_i_i_iUSA | Domestic purchases of bonds issued in the USA in US dollars. Data from Morningstar |
| F_B_w_ni_i_iUSA | Domestic purchases of bonds issued in the USA in all currencies other than the US dollar. Data from Morningstar |
| F_BS_w_i_i_iUSA | Domestic purchases of sovereign bonds issued in the USA in US dollars. Data from Morningstar |
| F_BC_w_i_i_iUSA | Domestic purchases of corporate bonds issued in the USA in US dollars. Data from Morningstar |
| F_BC_w_ni_i_iUSA | Domestic purchases of corporate bonds in the USA issued in all currencies other than the US dollar. Data from Morningstar |
| F_BO_w_i_i_iUSA | Domestic purchases of other bonds in the USA issued in US dollars. Data from Morningstar |
| F_BO_w_ni_i_iUSA | Domestic purchases of other bonds in the USA issued in all currencies other than the US dollar. Data from Morningstar |
| F_E_x_Om_i_niUSA | Domestic purchases of equities of US companies. Data from Morningstar |
global_q_regression_plus_qtile.dta
| Variable | Description |
|---|---|
| date_q | Integer representing quarterly date in Stata format. |
| depvar | Three letter alphanumeric ISO currency code, encoded as a string |
| d_broad_dollar | Quarterly log exchange rate change for the US dollar, equally weighted against other G10 currencies, negative values are appreciations of the US dollar |
| qtile_type | Characteristic by which the US mutual fund universe is split into quintiles |
| qtile_num | Quintile rank of subset of mutual funds |
| f_* | See corresponding definition in allmerged.dta. Flow measure defined by the subset of mutual funds in that quintile. |