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/.本数据包包含可复现论文全部实证结果的完整Stata代码，涵盖表1至表5、表A.1以及图1至图3。 包含内容如下： (i) 全部Stata do文件：master.do负责统筹整个分析流程；code/01_data_preparation/目录用于构建日内汇率构造项（intraday exchange-rate construct）、分析面板（含日内收益率、选举概率与保护主义变量，以及样本筛选规则）与宏观调控变量；code/02_analysis/EMR_analysis.do则生成所有表格与图表。 (ii) 作者自研的映射文件。 (iii) 针对每一个第三方数据源，均附带小型格式示例文件（EXAMPLE_*.xlsx，通常仅包含一个示例国家），用于说明每份do文件预期接收的数据格式与布局。 (iv) 完整的文档资料：包括README.md、独立的数据可用性声明文件（DATA_AVAILABILITY.md）以及变量代码手册（docs/codebook.md）。 未包含内容说明：本数据包未分发任何第三方数据，无论其为授权许可类还是公开可获取类。本分析依赖多种数据源：部分为作者无法共享的专有/授权数据源（例如来自LSEG/Refinitiv Thomson Reuters Tick History的日内汇率数据、爱荷华电子市场合约价格、标普主权信用评级、ICRG政治风险评级），另一部分则为公开可获取的数据源（如联合国商品贸易统计数据库（UN Comtrade）、世界银行世界发展指标（World Bank WDI）、《国民财富外部头寸》（External Wealth of Nations）、国际货币基金组织（IMF）、Chinn–Ito指数、Manifesto Project、美国贸易代表办公室（USTR））。针对每类数据源，DATA_AVAILABILITY.md与各文件夹的README文件均会说明其提供商、获取途径以及所需的文件格式。 复现流程：从各数据源提供商处获取对应数据，并按照文档规定的文件名与格式，将文件分别放置于data/raw_restricted/与data/raw_public/目录下（附带的EXAMPLE_*.xlsx示例文件可展示预期的数据布局）。随后在code/master.do文件中设置全局根目录为数据包所在路径，运行master.do即可。整个流程将重新生成分析数据集，并将所有表格与图表输出至output/目录。