Bart Keijsers, Bart Diris, and Erik Kole, "Cyclicality in Losses on Bank 
Loans", Journal of Applied Econometrics, Vol. 33, No. 4, 2018, pp. 
533-662.

The macro data used in the article are from the Organization for
Economic Co-operation and Development (OECD). In particular, we use
the gross domestic product (GDP), industrial production (IP) and
unemployment rate (UR). The variables included are the growth rates
with respect to the same quarter in the previous year. The data
consists of 40 quarterly observations from 2002Q1 to 2011Q4. The
analysis is based on the 32 observations from 2003Q1 to 2010Q4. The
lead-lag investigation is based on the data from 2002Q1 to 2009Q4 and
from 2004Q1 to 2011Q4. Online appendix A provides a detailed
description of the macro data.

The macro data are in the file macro_data.csv, which is so small that
it is not compressed.

The loan and default data used in the article are from Global Credit
Data. It is an international cooperation of banks to support
statistical research for the advanced internal ratings-based approach
under the Basel accords. The members pool information on loans and
defaults to create two anonymous databases, the LGD database with
information about the losses on resolved defaults, and the loan
database with information to analyze the default rate. Requests for
data access should be addressed to Global Credit Data. See
http://www.globalcreditdata.org/ for general information, data
requests can be submitted to Philip Winckle (executive director),
philip.winckle@globalcreditdata.org and/or Nina Brumma,
nina.brumma@globalcreditdata.org.

Via NIBC Bank, we gained access to the June-2014 version of the LGD
database and the June-2013 version of the default database.

Following NIBC's practice, we discount all cash flows by the two-year
swap rate plus the spread from the loan. When the contractual spread
is unavailable, we use the average spread of all defaulted loans. We
transform the resulting workout LGD to a percentage of the EAD. We
order the LGDs by quarter in line with the frequency of the macro
variables. We exclude non-representative defaults, as described in
online Appendix B.2.

Further questions can be addressed to 

Erik Kole (kole [AT] ese.eur.nl) and/or
Bart Keijsers (keijsers [AT] ese.eur.nl)
Econometric Institute
Erasmus School of Economics
PO Box 1738
3000 DR Rotterdam
Netherlands