NOTE: PROCEDURE PRINTTO used (Total process time):
      real time           0.00 seconds
      cpu time            0.00 seconds
      

3    
4    libname build
4  ! "C:\Users\yl2269\Dropbox\Yao_Backup\ChicagoBooth_DB\Research_Project\Bank_liquidity\Journal\J
4  ! AR\CodeAndData\01_Build\bd_data";
NOTE: Libref BUILD was successfully assigned as follows: 
      Engine:        V9 
      Physical Name: 
      C:\Users\yl2269\Dropbox\Yao_Backup\ChicagoBooth_DB\Research_Project\Bank_liquidity\Journal\J
      AR\CodeAndData\01_Build\bd_data
5    libname
5  ! covarraw"C:\Users\yl2269\Dropbox\Yao_Backup\ChicagoBooth_DB\Research_Project\Bank_liquidity\J
5  ! ournal\JAR\CodeAndData\00_DataCollection\dc_code\CoVaR\cv_data";
NOTE: Libref COVARRAW was successfully assigned as follows: 
      Engine:        V9 
      Physical Name: 
      C:\Users\yl2269\Dropbox\Yao_Backup\ChicagoBooth_DB\Research_Project\Bank_liquidity\Journal\J
      AR\CodeAndData\00_DataCollection\dc_code\CoVaR\cv_data
6    
7    /*all covar related variables multiply by (-1) so that higher covar means higher systemic
7  ! risk*/
8    data covar;
9    set covarraw.covar;
10   d_covar=d_covar*(-1);
11   var_01=var_01*(-1);
12   d_covar_dollar_raw=d_covar_dollar_raw*(-1);
13   run;

NOTE: Missing values were generated as a result of performing an operation on missing values.
      Each place is given by: (Number of times) at (Line):(Column).
      407 at 10:16   407 at 11:14   522 at 12:38   
NOTE: There were 30780 observations read from the data set COVARRAW.COVAR.
NOTE: The data set WORK.COVAR has 30780 observations and 6 variables.
NOTE: DATA statement used (Total process time):
      real time           0.01 seconds
      cpu time            0.00 seconds
      

14   
15   data fwdcovar;
16   set covarraw.fwd_d_covar_out;
17   fwd_d_covar_1q_out=fwd_d_covar_1q_out*(-1);
18   fwd_d_covar_4q_out=fwd_d_covar_4q_out*(-1);
19   fwd_d_covar_8q_out=fwd_d_covar_8q_out*(-1);
20   run;

NOTE: Missing values were generated as a result of performing an operation on missing values.
      Each place is given by: (Number of times) at (Line):(Column).
      5399 at 17:38   6065 at 18:38   6921 at 19:38   
NOTE: There were 17753 observations read from the data set COVARRAW.FWD_D_COVAR_OUT.
NOTE: The data set WORK.FWDCOVAR has 17753 observations and 6 variables.
NOTE: DATA statement used (Total process time):
      real time           0.00 seconds
      cpu time            0.01 seconds
      

21   
22   data srisk;
23   set covarraw.srisk_vlab;
24   run;

NOTE: There were 4535 observations read from the data set COVARRAW.SRISK_VLAB.
NOTE: The data set WORK.SRISK has 4535 observations and 9 variables.
NOTE: DATA statement used (Total process time):
      real time           0.00 seconds
      cpu time            0.00 seconds
      

25   
26   data mes;
27   set covarraw.mes;
28   run;

NOTE: There were 15688 observations read from the data set COVARRAW.MES.
NOTE: The data set WORK.MES has 15688 observations and 7 variables.
NOTE: DATA statement used (Total process time):
      real time           0.00 seconds
      cpu time            0.00 seconds
      

29   
30   data nwregvar;
31   set build.nwregvar_no_large_Acquiring;
32   run;

NOTE: There were 6197 observations read from the data set BUILD.NWREGVAR_NO_LARGE_ACQUIRING.
NOTE: The data set WORK.NWREGVAR has 6197 observations and 264 variables.
NOTE: DATA statement used (Total process time):
      real time           0.01 seconds
      cpu time            0.00 seconds
      

33   
34   proc sort data=nwregvar;by rssd9001 y q;run;

NOTE: There were 6197 observations read from the data set WORK.NWREGVAR.
NOTE: The data set WORK.NWREGVAR has 6197 observations and 264 variables.
NOTE: PROCEDURE SORT used (Total process time):
      real time           0.01 seconds
      cpu time            0.01 seconds
      

35   proc sort data=covar;by rssd9001 y q;run;

NOTE: There were 30780 observations read from the data set WORK.COVAR.
NOTE: The data set WORK.COVAR has 30780 observations and 6 variables.
NOTE: PROCEDURE SORT used (Total process time):
      real time           0.01 seconds
      cpu time            0.00 seconds
      

36   proc sort data=fwdcovar;by rssd9001 y q;run;

NOTE: There were 17753 observations read from the data set WORK.FWDCOVAR.
NOTE: The data set WORK.FWDCOVAR has 17753 observations and 6 variables.
NOTE: PROCEDURE SORT used (Total process time):
      real time           0.00 seconds
      cpu time            0.01 seconds
      

37   proc sort data=srisk;by rssd9001 y q;run;

NOTE: There were 4535 observations read from the data set WORK.SRISK.
NOTE: The data set WORK.SRISK has 4535 observations and 9 variables.
NOTE: PROCEDURE SORT used (Total process time):
      real time           0.00 seconds
      cpu time            0.00 seconds
      

38   proc sort data=mes;by rssd9001 y q;run;

NOTE: There were 15688 observations read from the data set WORK.MES.
NOTE: The data set WORK.MES has 15688 observations and 7 variables.
NOTE: PROCEDURE SORT used (Total process time):
      real time           0.00 seconds
      cpu time            0.00 seconds
      

39   data systemicrisk;
40   merge nwregvar(in=a) covar fwdcovar srisk mes;
41   by rssd9001 y q;
42   if a;
43   run;

NOTE: There were 6197 observations read from the data set WORK.NWREGVAR.
NOTE: There were 30780 observations read from the data set WORK.COVAR.
NOTE: There were 17753 observations read from the data set WORK.FWDCOVAR.
NOTE: There were 4535 observations read from the data set WORK.SRISK.
NOTE: There were 15688 observations read from the data set WORK.MES.
NOTE: The data set WORK.SYSTEMICRISK has 6197 observations and 280 variables.
NOTE: DATA statement used (Total process time):
      real time           0.03 seconds
      cpu time            0.00 seconds
      

44   
45   data systemicrisk;
46   set systemicrisk;
47   by rssd9001;
48   if eof1=0  then
49   set systemicrisk (firstobs=2 keep=d_covar fwd_d_covar_1q_out fwd_d_covar_4q_out
49 ! fwd_d_covar_8q_out y q rssd9001 rename=(d_covar=d_covar_lead1
49 ! fwd_d_covar_1q_out=fwd_d_covar_1q_out_lead1 fwd_d_covar_4q_out=fwd_d_covar_4q_out_lead1
49 ! fwd_d_covar_8q_out=fwd_d_covar_8q_out_lead1 rssd9001=rssd9001_lead1 y=y_lead1 q=q_lead1))
49 ! end=eof1;
50   
51   d_covar_lead1=ifn(rssd9001=rssd9001_lead1 & ((y_lead1=y & q_lead1=q+1) | (y_lead1=y+1 & q=4 &
51 !  q_lead1=1)), d_covar_lead1,.);
52   fwd_d_covar_1q_out_lead1=ifn(rssd9001=rssd9001_lead1 & ((y_lead1=y & q_lead1=q+1) |
52 ! (y_lead1=y+1 & q=4 & q_lead1=1)), fwd_d_covar_1q_out_lead1,.);
53   fwd_d_covar_4q_out_lead1=ifn(rssd9001=rssd9001_lead1 & ((y_lead1=y & q_lead1=q+1) |
53 ! (y_lead1=y+1 & q=4 & q_lead1=1)), fwd_d_covar_4q_out_lead1,.);
54   fwd_d_covar_8q_out_lead1=ifn(rssd9001=rssd9001_lead1 & ((y_lead1=y & q_lead1=q+1) |
54 ! (y_lead1=y+1 & q=4 & q_lead1=1)), fwd_d_covar_8q_out_lead1,.);
55   
56   drop rssd9001_lead1 y_lead1 q_lead1;
57   run;

NOTE: There were 6197 observations read from the data set WORK.SYSTEMICRISK.
NOTE: There were 6196 observations read from the data set WORK.SYSTEMICRISK.
NOTE: The data set WORK.SYSTEMICRISK has 6197 observations and 284 variables.
NOTE: DATA statement used (Total process time):
      real time           0.01 seconds
      cpu time            0.01 seconds
      

58   
59   
60   PROC EXPORT DATA=systemicrisk
61               FILE="C:\Users\yl2269\Dropbox\Yao_Backup\ChicagoBooth_DB\Research_Project\Bank_li
61 ! quidity\Journal\JAR\CodeAndData\02_Analysis\an_data\covar"
62               DBMS=STATA REPLACE;
63   RUN;

NOTE: The export data set has 6197 observations and 284 variables.
NOTE: "C:\Users\yl2269\Dropbox\Yao_Backup\ChicagoBooth_DB\Research_Project\Bank_liquidity\Journal\
      JAR\CodeAndData\02_Analysis\an_data\covar.dta" file was successfully created.
NOTE: PROCEDURE EXPORT used (Total process time):
      real time           0.02 seconds
      cpu time            0.01 seconds
      

NOTE: SAS Institute Inc., SAS Campus Drive, Cary, NC USA 27513-2414
NOTE: The SAS System used:
      real time           10.75 seconds
      cpu time            0.65 seconds
      
