/*                             redodat.gpg



this file loads data from .fmt files created by newfmt.prg;

a. transforms index returns to real quart. avg. 47-90 and saves to .fmt files.

b. transforms indiv. returns to real quart. avg. 44-90 and saves to .fmt files.

The result is the data files



    avdecret,avvwret,avewret,avustret;



used by gmm.gpg



modified to update to 93:4

----------------------------------------------------------------------------- */



@library gmm;@



proc(1) = mtoqret(ret,start,end);retp(0); endp;



load path = c:\j\newprod\data;

save path = c:\j\newprod\data;



/* ------------- */

/* load raw data */

/* ------------- */



    /* load returns */



    load @mcaldt,@mvwretd,mvwretx,mewretd,mewretx,msptrn,mdecrets;

    load mustret;

    /*

    load indstret;

    load mew20,mvw20y,mvw20m,mew10,mvw10y,mvw10m;

    */



    /* load sbbi returns and inflation */



    load  mgbtret,mcbtret,mustret,mcpiret; /* SBBI data                   */

    load mcpiret;                           /* units 1+r                    */

    load  mpunew ;                          /* NIPA SA cpi  568 long 47:1-94:4*/

                                            /* units: level                 */



    mpunew = mpunew[2:rows(mpunew)]./mpunew[1:rows(mpunew)-1];

    mpunew = mcpiret[1:253]|mpunew;         /* use sbbi nsa for 46          */

                                            /* mpunew is now m infl rate */

    mpunew = mpunew[1:rows(mpunew)-4];      /* chop to 93:12 */



    load ip;                                /* 47:1 - 93:12 monthly 564      */



    /* load citibase yields */



    load fybaac,fyaaac,fygm3,fygl;



    /* ----------------------------------------------------------- */

    /* change returns to real quarterly average, 4702-93:04        */

    /*   form quarterly 47 - 93 returns from monthly 26-93         */

    /*   by averaging monthly returns                              */

    /*   253 = 470131; 780=901231  q data has 176 observations     */

    /*                 816=931231             188                  */

    /* ----------------------------------------------------------- */



    avdecret = mtoqret(mdecrets./mpunew,250,816);   /* NBER paper has real */

    avvwret  = mtoqret(mvwretd./mpunew,250,816);

    avewret  = mtoqret(mewretd./mpunew,250,816);

    avustret = mtoqret(mustret./mpunew,250,816);

    avdecret = avdecret[2:188,.];

    avvwret  = avvwret[2:188,.];

    avewret  = avewret[2:188,.];

    avustret = avustret[2:188,.];



    /* ----------------------------------------------------------- */

    /* change indiv. returns to real quart. avg., 4702-9004        */

    /*   form quarterly 47 - 90 returns from monthly 26-90         */

    /*   by averaging monthly returns                              */

    /*   26 = 470131; 553=901231  q data has 176 observations      */

    /*                589=931231             188                   */

    /* ----------------------------------------------------------- */

    /*

    aindstrt = mtoqret(indstret./mpunew[228:816],23,553);

    aindstrt = aindstrt[2:176,.];



    save aindstrt;

    */



    save avdecret,avvwret,avewret,avustret@,aindstrt@;



    /* make sampled monthly div yield yield spreads for use as instruments */

    /* these are all 47:01 - 94:04, last month equals t */



    qterm = fygl-fygm3;

    qdef  = fybaac-fyaaac;

    qterm = chgfreq(qterm,1,3,0);

    qdef  = chgfreq(qdef,1,3,0);

    qterm = qterm[1:188];

    qdef  = qdef[1:188];

    save qterm,qdef;        /* quarterly 47-93 */



    qvwr  =  exp(chgfreq(ln(mvwretd[241:816]),12,3,0));

    qvwrx =  exp(chgfreq(ln(mvwretx[241:816]),12,3,0));

    qvwr  =  qvwr[5:rows(qvwr)];

    qvwrx = qvwrx[5:rows(qvwrx)];

    qvwdp = qvwr./qvwrx - 1;



    qewr  =  exp(chgfreq(ln(mewretd[241:816]),12,3,0));

    qewrx =  exp(chgfreq(ln(mewretx[241:816]),12,3,0));

    qewr  =  qewr[5:rows(qewr)];

    qewrx = qewrx[5:rows(qewrx)];

    qewdp = qewr./qewrx - 1;



    save qvwdp,qewdp;



    /* ----------------------------------------------------------- */

    /* change vintile returns to real quart. avg., 4702-9004       */

    /*   form quarterly 47 - 90 returns from monthly 46-90         */

    /*   by averaging monthly returns                              */

    /*   12 = 470131; 539=901231  q data has 176 observations      */

    /*                                                             */

    /* ----------------------------------------------------------- */

    /*

    avew20 = mtoqret(mew20[1:539,.]./mpunew[242:780],9,539);

    avvw20y = mtoqret(mvw20y[1:539,.]./mpunew[242:780],9,539);

    avvw20m = mtoqret(mvw20m[1:539,.]./mpunew[242:780],9,539);

    avew20 = avew20[2:176,.];

    avvw20y = avvw20y[2:176,.];

    avvw20m = avvw20m[2:176,.];

    save avew20,avvw20y,avvw20m;

    */

    /* ----------------------------------------------------------- */

    /* change ew-decile returns to real quart. avg., 4702-9004     */

    /*   form quarterly 47 - 90 returns from monthly 46-90         */

    /*   by averaging monthly returns                              */

    /*   12 = 470131; 539=901231  q data has 176 observations      */

    /*                575=931231             188                   */

    /* ----------------------------------------------------------- */

    /*

    avew10 = mtoqret(mew10[1:575,.]./mpunew[242:816],9,575);

    avvw10y = mtoqret(mvw10y[1:575,.]./mpunew[242:816],9,575);

    avvw10m = mtoqret(mvw10m[1:575,.]./mpunew[242:816],9,575);

    avew10 = avew10[2:188,.];

    avvw10y = avvw10y[2:188,.];

    avvw10m = avvw10m[2:188,.];

    save avew10,avvw10y,avvw10m;

    */







    /* ----------------------------------------- */

    /*      make chen roll ross factors



        MP  = growth in industrial production,

              averaged as returns

        UI  = unexpected inflation

        DEI = change in expected inflation

        UPR = low grade - long gov't return

        UTS = long gov't - t bill return



        all series are q, 47:2 - 90:4;



                                    IP4 IP5 IP6

           MP: q2 ip growth is ln ( ----------- ) ,

                                    IP1 IP2 IP3

    */

    /* ----------------------------------------- */



lip = ln(ip);                                           /* chop to 47:1-90:12 */

qlip = chgfreq(lip,,3,3,0);

MP = qlip[2:rows(qlip)]-qlip[1:rows(qlip)-1];



exprr = mustret - mpunew;

T = rows(exprr);

u = recserar(0|(exprr[2:T]-exprr[1:T-1]),0,0.9223);

Einf = mustret[2:T]-exprr[1:T-1]-u[1:T-1];           /* ust is return, lag to

                                                        be yield           */

Einf = Einf[253:rows(einf)]|einf[rows(einf)];        /* cheat: repeat last

                                                        to get to 90:12    */

DEI = einf[2:rows(einf)]-einf[1:rows(einf)-1];       /* 47:2-90:12         */

UI  = mustret[254:rows(mustret)] - einf[1:rows(einf)-1];



DEI = chgfreq(0|dei,3,3,0);                          /* average to quarterly*/

UI = chgfreq(0|ui,3,3,0);

DEI = DEI[2:rows(DEI)];

UI = UI[2:rows(UI)];





mgbtret = mgbtret[253:rows(mgbtret)];

mcbtret = mcbtret[253:rows(mcbtret)];

mustret = mustret[253:rows(mustret)];

avgb = mtoqret(mgbtret,1,rows(mgbtret));

avcb = mtoqret(mcbtret,1,rows(mcbtret));

avus = mtoqret(mustret,1,rows(mustret));



UPR = avcb-avgb;

UTS = avgb-avus;



save MP,DEI,UI,UPR,UTS;





/* -------------------------------------------------------------------------*/

/*                          proc mtoqret                                    */



/* form quarterly returns from monthlies





   oct31  nov31  dec31  jan31  feb31

       \ ----------- /                 +

              \ ---------- /             +

                         \ -------- /     =

              Q1 return compare to Q1/Q4 growth rate

---------------------------------------------------------------------------*/



proc(1) = mtoqret(ret,start,endx);

    local mr1, mr2, mr3, mr, nobs;

    mr1 =  chgfreq(ln(ret[start:endx,.]), 3 , 3, 0);

    mr2 =  chgfreq(ln(ret[start:endx,.]), 3 , 3, -1);

    mr3 =  chgfreq(ln(ret[start:endx,.]), 3 , 3, -2);

    nobs = floor((endx-start)/3);

    mr = exp((mr1[1:nobs,.]+mr2+mr3)/3); /*last obs of last two is missing*/

    retp(mr);

endp;