Supplementary Material > Volume 114 Issue 498 (October 2004)

Volume 114 Issue 498 (October 2004)

Cross‐Country Variation in the Liquidity Effect: The Role of Financial Markets

William D. Lastrapes, W. Douglas McMillin

 The file 'ejdata.txt' contains the time series data used in
Lastrapes and McMillin, 'Cross-country variation in the liquidity effect: the role of financial markets'.
Data sources and definitions are described in the text, and the appendix to the paper posted on our web site (http://www.terry.uga.edu/people/last/personal/research.html). Data for the primary independent variables used in the cross sectional analysis are contained in Table 2 of the paper itself.

The variables in 'ejdata.txt' are listed by column; dates are provided in the first column.
Fortran format (a8,10f12.6) is used. The first block (the first four data columns) contains world variables: world output, world prices, crude petroleum price index and commodity price index.

The second block contains the time series data for the first two countries in the sample (see Table 1 of the paper) in the following order: foreign exchange rate, money, interest rate, consumer price index, and output. The remaining
blocks, each separated by a single line, contain the same series for the remaining 19 countries. The data for some of the series (e.g. belgium and france) have already been adjusted as described in the text.