Data for Testing Footprints.xlsx

This dataset accompanies the article Testing for the footprints of stabilization economic policy in forecast errors and provides the minimal data necessary to replicate the empirical findings. It consists of six sheets:<br>DailyBonds – Contains first differences of daily 10-year government bond yields for 33 countries, covering the period January 1, 2012 – December 31, 2019. The raw yield data were obtained from the Thomson Reuters Datastream (Refinitiv Eikon) database and transformed into first differences to ensure stationarity. These data are the input for the ARMA–GARCH models and the Policy Effects Lagrange Multiplier (PELM) test applied in the paper.<br>Revenue – Contains government revenue data (as % of GDP) for the same set of countries, sourced from the IMF World Economic Outlook (WEO) database. A direct link to the corresponding IMF WEO page is included at the top of the sheet.<br>Expenditures – Contains government expenditure data (as % of GDP) from the IMF WEO database, with the link included at the top of the sheet.<br>Rev-Exp – Computed differences between government revenue and expenditures (Revenue – Expenditure), constructed to provide an additional fiscal indicator in line with referee suggestions. This series was used in supplementary tests, including analysis of the Brexit crisis.<br>N_lending_borrowing – Contains data on Net lending/borrowing (general government, % of GDP), sourced from the IMF WEO database.<br>P_net_lending_borrowing – Contains data on Primary net lending/borrowing (general government, % of GDP), also from the IMF WEO database.<br>Methodology and TechniquesThe DailyBonds sheet is used to estimate ARMA–GARCH models for sovereign bond yields and to compute the PELM test statistics, which detect stabilization policy footprints in financial markets. Fiscal indicators from the IMF WEO (revenue, expenditure, net lending/borrowing, primary net lending/borrowing) are then employed to evaluate fiscal dynamics across countries, including additional robustness checks prompted by reviewers (such as the Brexit crisis case study). The computed series Rev-Exp (revenue minus expenditure) provides an alternative fiscal stance measure that complements the WEO variables.<br>Legal and Ethical ConsiderationsThe dataset includes only derived or publicly shareable information. The bond yield data were originally obtained from Refinitiv Eikon (Thomson Reuters Datastream), which is subject to subscription licensing; we provide only the first differences required for replication, not the raw series. The IMF WEO data are publicly available and redistributed here in line with the IMF’s open data policy. No individual-level or sensitive data are included.