Replication data and code for: Interest burdens and local-currency sovereign yield responses to geopolitical risk

Replication package for the article "Interest burdens and local-currency sovereign yield responses to geopolitical risk" (submitted to Finance Research Letters, 2026). It contains the cleaned monthly panel for eleven local-currency sovereign bond markets (Chile, Colombia, Hungary, India, Israel, Korea, Malaysia, Mexico, Poland, South Africa, Thailand), 2009M1 to 2026M8, with a codebook; the Python scripts that construct the country geopolitical risk innovations and fiscal states and estimate every state-dependent local projection, table and figure in the paper and online appendix (run_v3.sh lists the full sequence); and two Stata 17 do-files with input data and logs that replicate the baseline and the fully interacted specification. All inputs come from public sources: OECD Main Economic Indicators and FRED, IMF Monetary and Financial Statistics, IMF World Economic Outlook (April 2026), World Bank Global Economic Monitor, and the geopolitical risk and trade policy uncertainty indices of Caldara and Iacoviello. Script comments are in Vietnamese; variable names and outputs are in English.