Goals

Goals#

Objectives#

  • Replicate Figures I-II and Tables I-II of López-Salido, Stein, and ZakrajÅ¡ek (2017, QJE) from primary sources. Pull the underlying data from FRED, Robert Shiller’s data website, and the Greenwood-Hanson high-yield share (published historical series plus a Mergent FISD/WRDS reconstruction).

  • Extend the sample period beyond the original paper’s 2015 cutoff through the most recent data available from each source, so the replicated and extended series reflect current market conditions rather than stopping at the original publication’s end date.

  • Extend the replication along two axes: (1) an analogous credit-market sentiment measure built from the Aaa-Treasury spread instead of the Baa-Treasury spread, produced in parallel through every stage of the pipeline, and (2) a case study applying the 1929-2015-fit sentiment signal out of sample to the 2020-2022 COVID shock and its aftermath.

  • Package the whole project as a reproducible, one-command ChartBook pipeline (doit) that pulls data, runs the replication, renders guided notebooks, compiles a LaTeX report, and publishes a documented site with interactive charts and dataframe provenance.

Success Criteria#

  • A clean clone with valid WRDS credentials can run doit end to end and produce every table, figure, notebook, and the compiled reports/report.pdf without manual intervention.

  • The replicated Table I and Table II coefficients fall within the tolerances checked by the automated integration tests (test_replicate_table_1.py, test_replicate_table_2.py), which compare them against the published QJE values as part of doit’s run_pytest step.

  • Every replication figure and table has a corresponding Aaa-spread variant and an extended-sample (through the most recent available data) variant.

  • The COVID case study (04_case_study.ipynb) shows whether the sentiment signal’s predicted change in the credit spread tracks the realized change over 2020-2022, with its caveats documented alongside the result.

  • chartbook build publishes a site where every dataframe, chart, and notebook is documented.