by Pavel Solís ([email protected])

The results in the paper were generated using the following:

• Operating systems: macOS 12.2.1, Windows 10
• Software: Stata 17
• Add-ons: scheme-modern, regsave, texsave, coefplot
• Expected running time: 5 min

README.md (this file)

• Codes folder with the following subfolder:
  • Analysis: replication script
• Data folder with the following subfolder:
  • Analytic: analysis dataset
• Docs folder with the following subfolders:
  • Paper folder: files that make up the manuscript
  • Figures folder: files with the figures
  • References folder: .bib file with cited references

With the following exceptions, the variables in the dataset represent (percent) changes (* is a wildcard):

• date* contain dates
• idx*, regular and usjobsday are binary variables
• levelwti reports end-of-day values

The following variables report intraday (percent) changes in 30-min windows:

• gmxn*yr, mpsw28t, mpswc, trm*, usdmxn

Some variables use the following suffixes:

• _ttwd for intraday (percent) changes in 50-min windows
• _ttdm for daily (percent) changes

Execute the codes.do file to replicate the results in the paper

• The codes store the tables and figures in the respective folder

Execute the paper.tex file to generate the PDF version of the manuscript