Replication package: Protectionist U.S. Trade Policies and the Cross-Section of Emerging Market Currency Returns (Emerging Markets Review)

This package contains the complete Stata code that reproduces all empirical results of the paper: Tables 1–5 and A.1, and Figures 1–3.

What is included:

(i) All Stata do-files: master.do orchestrates the pipeline; code/01_data_preparation/ builds the intraday exchange-rate construct, the analysis panel (intraday returns, election-probability and protectionism variables, sample filters), and the macro conditioning variables; code/02_analysis/EMR_analysis.do produces every table and figure.

(ii) The authors' own mapping files.

(iii) For every third-party data source, a small format example (EXAMPLE_*.xlsx, typically one illustrative country) documenting the exact layout each do-file expects.

(iv) Full documentation: README.md, a standalone Data Availability Statement (DATA_AVAILABILITY.md), and a variable codebook (docs/codebook.md).

What is NOT included: No third-party data are redistributed, neither licensed nor public. The analysis relies on several proprietary/licensed sources the authors may not share (intraday exchange rates from LSEG/Refinitiv Thomson Reuters Tick History; Iowa Electronic Markets contract prices; S&P sovereign credit ratings; ICRG political-risk ratings) as well as publicly available sources (e.g. UN Comtrade, World Bank WDI, External Wealth of Nations, IMF, Chinn–Ito, Manifesto Project, USTR). For each source, DATA_AVAILABILITY.md and the folder READMEs document the provider, how to obtain it, and the required file format.

How to reproduce: Obtain each data source from its provider and place the files in data/raw_restricted/ and data/raw_public/ using the documented filenames and formats (the bundled EXAMPLE_*.xlsx files show the expected layout). Then set global root in code/master.do to the package location and run master.do. The pipeline regenerates the analysis dataset and all tables and figures into output/.