Lena Boneva and Oliver Linton, "A Discrete Choice Model for Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance", Journal of Applied Econometrics, Vol. 32, No. 7, 2017, pp. 1226-1243. The data used in this article are obtained from Bloomberg. The licensing agreement with Bloomberg does not allow us to publish the data. To construct the data set, we first constructed a list of bond issuances by US firms between 1990 and 2015 in US dollar, with a fixed coupon and short-run unsecured collateral. Non-bullet and callable bonds are excluded. For this list of issuances, we then downloaded time series of individual bond characteristics (yield, market value etc.). Industry classifications are obtained from Bloomberg, too. For access inquiries, Bloomberg can be contacted using the following phone numbers: Americas +1 212 318 2000 Europe, Middle East, & Africa +44 20 7330 7500 Asia Pacific +65 6212 1000 Please address any questions to: Lena Boneva Bank of England Threadneedle St London EC2R 8AH UK Lena.Boneva [AT] bankofengland.co.uk