Marco Bernardini and Gert Peersman, "Private Debt Overhang and the
Government Spending Multiplier: Evidence for the United States",
Journal of Applied Econometrics, Vol. 33, No. 4, 2018, pp. 485-508.

All file are contained in the zip file bp-files.zip. Data and codes
are organized in five folders: "programs", "data", "results",
"log files", and "article/figurestables".

PROGRAMS

The programs run in STATA. The STATA do file "runall" runs the
following programs (which can run independently):

 - 00_data2matlab.do: save the dataset in the excel file "figMATLAB.xls"
 - 01_BP_baseline.do: baseline estimation (BP shocks)
 - 01_DN_baseline: baseline estimation (DN shocks)
 - 02_BP_sensitivity_datawars: sensitivity analysis on the use of historical
   data (BP shocks-NO wars)
 - 03_BP_sensitivity_data1952: sensitivity analysis on the use of historical
   data (BP shocks-only modern sources)
 - 04_BP_sensitivity_trend: sensitivity analysis on the definition of private
   debt states (BP shocks)
 - 04_DN_sensitivity_trend: sensitivity analysis on the definition of private
   debt states (DN shocks)
 - 05_BP_transmission: transmission mechanism (BP shocks)
 - 05_DN_transmission: transmission mechanism (DN shocks)
 - 06_BP_augmented: augmented estimation (BP shocks)
 - 06_DN_augmented: augmented estimation (DN shocks)

The input of these programs is the dataset, which is contained in the
folder "data". The output of these programs is stored in three
different folders: "results", "log files", and
"article/figurestables".


DATA

The file "data_20170711.dta" is a STATA dta file which contains the
following variables (sample 1919q1-2013q4):

 - quarter: time variable indicating the quarter
 - RGCE: real per - capita government spending
 - RGDP: real per - capita GDP
 - RCON: real per - capita consumption
 - RINV: real per - capita investment
 - DEF: price index
 - NINT: nominal interest rate
 - AMTR: average marginal tax rate
 - PRY: private debt-to-GDP
 - PRY_cycle: private debt-to-GDP cycle (HP filter with lambda=1e6)
 - PRY_trend: private debt-to-GDP trend (HP filter with lambda=1e6)
 - PRO: PRY_cycle > PRY_trend (at least two consecutive quarters)
 - PRYhp7_cycle: private debto - to - GDP cycle (HP filter with lambda=1e7)
 - PRYhp7_trend: private debt-to-GDP trend (HP filter with lambda=1e7)
 - PROhp7: PRYhp7_cycle > PRYhp7_trend (at least two consecutive quarters)
 - PRYb3_cycle: private debt-to-GDP cycle (HP filter with lambda=4e5)
 - PRYb3_trend: private debt-to-GDP trend (HP filter with lambda=4e5)
 - PROb3: PRYb3_cycle > PRYb3_trend (at least two consecutive quarters)
 - PRYhhd: household debt-to-GDP
 - PRYhhd_cycle: household debt-to-GDP cycle (HP filter with lambda=1e6)
 - PRYhhd_trend: household debt-to-GDP trend (HP filter with lambda=1e6)
 - PROhhd: PRYhhd_cycle > PRYhhd_trend (at least two consecutive quarters)
 - PRYpfd: total private debt-to-GDP
 - PRYpfd_trend: total private debt-to-GDP cycle (HP filter with lambda=1e6)
 - PRYpfd_cycle: total private debt-to-GDP cycle (HP filter with lambda=1e6)
 - PROpfd: PRYpfd_cycle > PRYpfd_trend (at least two consecutive quarters)
 - PROcon: empirical cumulative distribution of PRY_cycle
 - GVY: public debt-to-GDP
 - GVY_cycle: public debt-to-GDP cycle (HP filter with lambda=1e6)
 - GVY_trend: public debt-to-GDP trend (HP filter with lambda=1e6)
 - GVO: GVY_cycle > GVY_trend (at least two consecutive quarters)
 - AGV: recessions (continuous)
 - RECQ: recessions (discrete)
 - ZLB: zero lower bound episodes
 - SMC: stock market crashes
 - BC: banking crises
 - DFNW: defense news
 - HDS: household debt service ratio
 - HFO: household financial obligations ratio
 - MA1520lo: moving average band 15-20 years - lower bound
 - MA1520up: moving average band 15-20 years - upper bound
 - MA1520: MA1520lo > 0 (at least two consecutive quarters, = PRO if missing,
   i.e. in the tails)
 - DELEV: deleveraging periods
 - UNEM: unemployment rate
 - UNS: UNEM > 6.5	


RESULTS

This folder stores the regression outputs, each in a separate CSV
file, which are generated by the STATA programs (see folder
"programs").


LOG FILES

Folder containing the log files of the STATA programs (see folder
"programs").


ARTICLE/FIGURESTABLES

The figures are generated in MATLAB (several MATLAB m files titled
"fig_*"). Each MATLAB m file reads the estimation results stored in
the excel file "figMATLAB.xls", which is generated by the STATA
programs (see folder "programs").