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    
6    
7    PROC IMPORT OUT=sample
8                FILE="C:\Users\yl2269\Dropbox\Yao_Backup\ChicagoBooth_DB\Research_Project\Bank_li
8  ! quidity\Journal\JAR\CodeAndData\02_Analysis\an_data\nwregvar_no_large_Acquiring.dta"
9                DBMS=STATA REPLACE;
10   RUN;

NOTE: One or more variables were converted because the data type is not supported by the V9 
      engine. For more details, run with options MSGLEVEL=I.
NOTE: The import data set has 6197 observations and 264 variables.
NOTE: WORK.SAMPLE data set was successfully created.
NOTE: PROCEDURE IMPORT used (Total process time):
      real time           0.02 seconds
      cpu time            0.00 seconds
      

11   
12   
13   data sample;
14   set sample;
15   if RSSD9999=20170930 or RSSD9999=20171231 or RSSD9999=20180331 ;
16   liquid_assets_lead1_non=ifn(lcrbanks~=1,liquid_assets_lead1,.);
17   liquid_assets_lead1_disc=ifn(lcrbanks=1,liquid_assets_lead1,.);
18   keep rssd9001 rssd9999 totalweight liquid_assets_lead1 liquid_assets_lead1_non
18 ! liquid_assets_lead1_disc  assets_lead1 trans_improve_lag1 post_lag1 lcrbanks;
19   run;

NOTE: There were 6197 observations read from the data set WORK.SAMPLE.
NOTE: The data set WORK.SAMPLE has 525 observations and 10 variables.
NOTE: DATA statement used (Total process time):
      real time           0.01 seconds
      cpu time            0.00 seconds
      

20   
21   data sample;
22   set sample;
23   coef_level_improve=-0.024;
24   coef_disc_level_post=0.0038;
25   coef_nondisc_level_post=-0.0037;
26   run;

NOTE: There were 525 observations read from the data set WORK.SAMPLE.
NOTE: The data set WORK.SAMPLE has 525 observations and 13 variables.
NOTE: DATA statement used (Total process time):
      real time           0.00 seconds
      cpu time            0.00 seconds
      

27   
28   data sample;
29   set sample;
30   disc_liq_asset_chg_diff=ifn(lcrbanks=1,coef_disc_level_post*assets_lead1,.);
31   non_disc_liq_asset_chg_diff=ifn(lcrbanks=0,coef_nondisc_level_post*assets_lead1,.);
32   non_disc_liq_asset_chg_did=ifn(lcrbanks=0 & totalweight>9 & totalweight<
32 ! 10001,coef_level_improve*trans_improve_lag1*assets_lead1,.);
33   non_disc_liq_asset_chg_did_2=ifn(lcrbanks=0
33 ! ,coef_level_improve*trans_improve_lag1*assets_lead1,.);
34   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).
      1 at 30:60    1 at 31:67    1 at 32:117   1 at 33:83    
NOTE: There were 525 observations read from the data set WORK.SAMPLE.
NOTE: The data set WORK.SAMPLE has 525 observations and 17 variables.
NOTE: DATA statement used (Total process time):
      real time           0.00 seconds
      cpu time            0.00 seconds
      

35   
36   proc sort data=sample;by rssd9999;run;

NOTE: There were 525 observations read from the data set WORK.SAMPLE.
NOTE: The data set WORK.SAMPLE has 525 observations and 17 variables.
NOTE: PROCEDURE SORT used (Total process time):
      real time           0.00 seconds
      cpu time            0.00 seconds
      

37   proc means data=sample noprint;
38   by rssd9999;
39   var disc_liq_asset_chg_diff non_disc_liq_asset_chg_diff non_disc_liq_asset_chg_did
39 ! non_disc_liq_asset_chg_did_2 liquid_assets_lead1 liquid_assets_lead1_non
39 ! liquid_assets_lead1_disc assets_lead1;
40   output out=agg_liq_chg sum=disc_liq_asset_chg_diff non_disc_liq_asset_chg_diff
40 ! non_disc_liq_asset_chg_did non_disc_liq_asset_chg_did_2 liquid_assets_lead1
40 ! liquid_assets_lead1_non liquid_assets_lead1_disc assets_lead1;
41   run;

NOTE: There were 525 observations read from the data set WORK.SAMPLE.
NOTE: The data set WORK.AGG_LIQ_CHG has 3 observations and 11 variables.
NOTE: PROCEDURE MEANS used (Total process time):
      real time           0.00 seconds
      cpu time            0.00 seconds
      

42   
43   data agg_liq_chg;
44   set agg_liq_chg;
45   net1=disc_liq_asset_chg_diff +non_disc_liq_asset_chg_diff;
46   net2=disc_liq_asset_chg_diff + non_disc_liq_asset_chg_did;
47   net3=disc_liq_asset_chg_diff + non_disc_liq_asset_chg_did_2;
48   net1perc=-disc_liq_asset_chg_diff/non_disc_liq_asset_chg_diff;
49   net2perc=-disc_liq_asset_chg_diff /non_disc_liq_asset_chg_did;
50   net3perc=-disc_liq_asset_chg_diff /non_disc_liq_asset_chg_did_2;
51   net1_liquid_assets=net1/liquid_assets_lead1;
52   net2_liquid_assets=net2/liquid_assets_lead1;
53   net3_liquid_assets=net3/liquid_assets_lead1;
54   
55   net1_assets=net1/assets_lead1;
56   net2_assets=net2/assets_lead1;
57   net3_assets=net3/assets_lead1;
58   drop _type_ _freq_;
59   *drop net1 net1perc net1_liquid_assets net1_assets;
60   run;

NOTE: There were 3 observations read from the data set WORK.AGG_LIQ_CHG.
NOTE: The data set WORK.AGG_LIQ_CHG has 3 observations and 21 variables.
NOTE: DATA statement used (Total process time):
      real time           0.00 seconds
      cpu time            0.00 seconds
      

61   
62   data agg_liq_chg;
63   set agg_liq_chg;
64   keep disc_liq_asset_chg_diff non_disc_liq_asset_chg_did_2 liquid_assets_lead1
64 ! liquid_assets_lead1_non liquid_assets_lead1_disc;
65   run;

NOTE: There were 3 observations read from the data set WORK.AGG_LIQ_CHG.
NOTE: The data set WORK.AGG_LIQ_CHG has 3 observations and 5 variables.
NOTE: DATA statement used (Total process time):
      real time           0.00 seconds
      cpu time            0.00 seconds
      

66   
67   
68   PROC EXPORT DATA=agg_liq_chg
69               FILE="C:\Users\yl2269\Dropbox\Yao_Backup\ChicagoBooth_DB\Research_Project\Bank_li
69 ! quidity\Journal\JAR\CodeAndData\02_Analysis\an_data\agg_liq_chg"
70               DBMS=xlsx REPLACE;
71   RUN;

NOTE: The export data set has 3 observations and 5 variables.
NOTE: "C:\Users\yl2269\Dropbox\Yao_Backup\ChicagoBooth_DB\Research_Project\Bank_liquidity\Journal\
      JAR\CodeAndData\02_Analysis\an_data\agg_liq_chg.xlsx" file was successfully created.
NOTE: PROCEDURE EXPORT used (Total process time):
      real time           0.03 seconds
      cpu time            0.00 seconds
      

NOTE: SAS Institute Inc., SAS Campus Drive, Cary, NC USA 27513-2414
NOTE: The SAS System used:
      real time           9.29 seconds
      cpu time            0.46 seconds
      
