Data and Code for "Bond Convenience Yields in the Eurozone Currency Union"

Data and code replication package for "Bond Convenience Yields in the Eurozone Currency Union" by Z. Jiang, H. Lustig, S. Van Nieuwerburgh, and M. Xiaolan. This folder contains data and code for replication of all results. Some of the underlying data is non-public. For those data instances, pseudo data in the same format as the original data is shared.