*****************************************************************
*Readme.txt                                                     *
*                                                               *
*Explanation of the data and programs of                        *
*                                                               *
*              Gurkaynak and Wolfers (2005)                     *
*     Macroeconomic Derivatives: An Initial Analysis of        * 
*     Market-Based Macro Forecasts, Uncertainty, and Risk.     *
*                                                               *
* November 8, 2005                                              *
*****************************************************************


The GW2005.zip file contains all the data and the code required to replicate the results reported in Gurkaynak and Wolfers (2005).

The analysis was carried out using STATA version 9 for PC.  The code consists of four parts and a driver program that calls these in sequence.  To generate the results unzip the data and code in the same directory, move to that directory from within STATA and run the GW2005_driver.do file. The code will run, displaying a mind numbing amount of data transformations and statistical analysis and flashing quite a number of charts and figures.  All of the ASCII output is saved in a large text file named Gurkaynak_Wolfers_2005_Results.log.  The charts and figures are not saved.  You can save these by editing the code and specifying save options for the figure generating commands.  

The driver program calls data.do, sections 1-2-3.do, section 4.do, section 5.do, and section 6.do in sequence.  The codes that generate the section specific outputs are standalone applications.  Once youve run data.do to format the data and generate the data files used in the analysis, you can call section XXX.do and replicate only the results of that section. 

There are two data files: AllDerivs(ForStata).csv and VIX.dta. 

VIX.dta:  Small STATA data file containing observations for VIX, the implied S&P stock index volatility.  Note that this file contains observations from all business days, not just days of data releases. 

The variables are:

Date: date of VIX quote
Vixopen: Opening quote
Vixhigh: Intraday high
Vixlow: Intraday low
Vixclose: Closing quote
Dt: date in STATA format
Lagvixclose: Previous closing quote

Allderivs(forSTATA).csv:  This is a comma separated value file that can be opened with Excel.  I contains the bulk of the data.  The data in this file are reported on a data release frequency.  That is, each observation is a data release associated with an economic derivatives auction.  Survey related data are posted with permission from Action Economics. More detail about the financial market data, the auctions and the surveys can be found in the paper. 

The variables are:
 
Statistic: Type of data release. NFPAY is change in nonfarm parolls. NAPM (now called ISM) is the Institute of Supply Managements (formerly known as National Association of Purchasing Managers) manufacturing diffusion index. RXAUT is percentage change in retail sales ex-autos.  ICLM is initial unemployment claims.
Auctiondate: Date of economic derivatives auction covering the data release.
Releasedatetime: Date of data release.

SP500: Change in the S&P500 index around the data release, in percent. 
EDXX: Change in the implied rate of the XXth Eurodollar futures contract around the data release, in basis points.  Not used in the paper.  
FFXX: Change in the implied rate of the XXth federal funds futures contract around the data release, in basis points.  Not used in the paper.  
OnrunXX: Change in the yield of the on-the-run Treasury security of XX maturity (3 months to 30 years) around the data release, in basis points.  Note that these are yields of actual securities, not constant maturity yields.
Releasedvalue: Value of the actual data release. 
MMean: Mean expectation from the MMS/Action Economics survey.   
AMean: Mean expectation from the economic derivatives auction, calculated from the PDF.
MMedian: Median expectation from the MMS/Action Economics survey.
AMedian: Median expectation from the economic derivatives auction, calculated from the PDF.
Mstd: Standard deviation of the MMS/Action Economics survey responses.
Astd: Auction standard deviation, calculated from the PDF.

[The economic derivatives auction probabilities are associated with bins. The bins are defined by adjacent strike prices which constitute the upper and lower bounds.  The first bin is associated with values lower than the lowest strike.  The last bin is associated with values higher than the highest strike.  We assign the probability to the mid-point of the bin. Not all auctions have the same number of strikes.  We set the bin number to accommodate the auction with the largest number of strikes.  For auctions with smaller number of bins the bounds and probabilities associated with bins after the last existing one were coded as missing.]

BinlbXX: Lower bound of the XXth auction bin. -9999 is infinity. 
BinubXX: Upper bound of the XXth auction bin. 9999 is infinity.
ProbbinXX: Auction implied probability of bin XX.
    
Auctiondateother: Auctiondate, again.
SvenXXlev: Level of the XX maturity yield at market close the day before the auction.  The yields are calculated using an extended Nelson-Siegel (Svensson) yield curve. These are constant maturity yields.
SP500change: Change in the S&P 500 index over the ten business days ending the day before the auction, in percent. 

[The remainder are memo items, not used in the paper.]

yahoo_releasedatetime: Yahoo.com's report of the release date
yahooactual: Their report of the actual.
Briefingforecast: Briefing.com's forecast.  (One forecaster)
yahoo_consensus: Yahoo's "consensus forecast" taken from a Bloomberg-like survey of financial market economists
yahoo_prior: The latest (revised) estimate of last month's actual, reported bu Yahoo.
yahoo_revisedfrom: Last month's number, as printed, reported by Yahoo.


MMSdatesupdate: Date of the (previous) Friday MMS survey
Auctiondateupdate: The auction date, again.  
updatesp500: Changed in SP500 over since the MMS survey
updateed4: Change in ED4 since the MMS survey
updateonrun_XX:  Change in yield of XX maturity since the MMS survey.

