Indebted Demand, Quarterly Journal of Economics, 2021, 136: 2243-2307 (with Atif Mian and Ludwig Straub) Slides from VMACS presentation YouTube link from VMACS presentation
Appendix
Public version of country-level debt to income ratio using the Federal Reserve Bank of New York and IRS data for income is available here.
Public version of the CBSA-level housing net work shock variable available here.
Text version available here.
Quarterly Compustat financial covenant violation data: The final public version of these data is described in the appendix. You must read the data appendix at the end of the above paper to understand these data.
Stata dataset of Compustate Quarterly Match to SEC Filings is here.
Stata dataset of Financial Covenant Violations that can be matched to Compustat Quarterly is here.
The new data represent an updated and improved version of the text-search algorithm used in the previous papers. Please see the data appendix of the new paper for more information.
Debt structure data files are here. Please read the notes at the top of the do file first. Then take a look through the log file that reproduces all results. This should give you all information you need to use the data.