Data archive for Hamilton-Wu research on the zero lower bound

If you use any of these data, please credit as follows:

James D. Hamilton and Jing Cynthia Wu, The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment, Journal of Money, Credit, and Banking, 44, no. 1 (Supplement, February 2012), pp. 3-46.

The data set can be downloaded here. The following data files are provided:

• z_public.mat: Data structure in MATLAB format containing four (240 x 1577) matrices. The rows in each matrix represent months beginning Jan 31, 1990 and ending Dec 31, 2009. The columns in each matrix represent debt maturity in weeks from last Friday of month, rounded up.
• Z: End-of month face value of outstanding marketable nominal debt of the U.S. Treasury, in millions of dollars
• Z_public: Elements of Z minus imputed holdings by the System Open Market Account of the Federal Reserve of that security
• z: Outstanding debt for each maturity as a fraction of total debt. Obtained by dividing each row of Z by the sum of that row.
• z_public: Fraction of publicly-held debt of each maturity. Obtained by dividing each row of Z_public by the sum of that row.
• Note it's also possible to read MATLAB files in R, using
  • library(R.matlab)
  • z_public < - readMat("z_public.mat")
  • str(z_public)
  • Note: no space between < and -
• z_201101_public.mat: Updates to the above structure as (13 x 1577) matrices for 2010:M1 to 2011:M1, and respective matrices denoted Z_201101, Z_201101_public, z_201101, and z_201101_public
• Treasury_201101_FULL.xls: Excel file with complete original Treasury data for 2010:M1-2011:M1 from which above updates were constructed
• Fed_201101_holding.xls: Excel file with Fed SOMA holdings for 2010:M1-2011:M1 from which above updates were constructed
• constant_maturity.xls: Excel file with yields used to construct the level, slope and curvature factors, estimate ATSM, and left- and right-hand variables for monthly regressions.
• Sheet 'Daily': Daily constant-maturity interest rates, from FRED.
• Sheet 'Weekly': Value from Sheet 'Daily' as of Friday or last business day of the week, used to estimate the 3-factor ATSM.
• Sheet 'Monthly': Value from Sheet 'Daily' as of the last business day of the month, used in any monthly regressions.
• end_of_month_term_structure.csv: ASCII format (separated by commas)-- parameters used by Gurkaynak, Sack and Wright (JME, Nov 2007) to characterize constant-maturity term structure as of the last business day of each month. First entry is Jan 31, 1990, last entry is June 30, 2010.
• end_of_month_yields.csv: Yields of various maturities as of the last business day of the month, calculated from the Gurkaynak, Sack, and Wright parameters.
• excess_holding_returns.csv: Excess returns from holding bond of 1 maturity over another for specified interval beginning at indicated date, constructed from end_of_month_yields.csv. For example, first entry is the difference in return (measured in percent at an annual rate) between (a) buying a 6-month T-bill on Jan 31, 1990 and selling it 3 months later, and (b) buying and holding a 3-month bill to maturity.
• avg_maturity.xls: Column 1: average maturity of nominal marketable debt held by the public, in weeks from last Friday of month, rounded up, as reported by Monthly Statement of the Public Debt, January 1990 to July 2007. Weighted by outstanding face value of each security. Column 2: fraction of nominal marketable debt held by the public with maturity greater than or equal to 520 weeks.
• q.xls: Columns contain the three elements of 100 times sigma*sigma'*sum(B_bar(n-1)*z(nt)), monthly from January 31, 1990 to July 31, 2007.

Excel format: Dan Thornton of the Federal Reserve Bank of St. Louis has also put the Z_public and z_public datasets above into Excel xlsx format. His file can be downloaded here.