Replication files for "Time-varying stock return correlation, news shocks, and business cycles"

The replication folder contains codes and data needed to replicate the empirical results in Metiu, N. and E. Prieto, "Time-varying stock return correlation, news shocks, and business cycles", European Economic Review, forthcoming. Disclaimer: The views expressed in the paper, its appendices, and the associated computer codes are those of the authors and do not necessarily reflect the views of the Deutsche Bundesbank or the Eurosystem. All remaining errors are our own.