data_set

It comprises 219 monthly observations spanning January 2008 to March 2026 and is provided in Stata format (data.dta), together with the Stata do-file that reproduces all results. All series are obtained from the Federal Reserve Economic Data (FRED) database maintained by the Federal Reserve Bank of St.

Louis, with the exception of the S&P 500 index, for which monthly closing values are obtained from Investing.com. The variables are as follows: sho — Federal Reserve total Securities Held Outright (H.4.1 release), millions of USD; vix — CBOE Volatility Index; sp500 — Standard & Poor's 500 index, monthly closing value (Investing.com); dxy — trade-weighted U.S. dollar index; ffr — effective federal funds rate (percent); us10y — 10-year Treasury constant-maturity yield (percent); us2y — 2-year Treasury constant-maturity yield (percent); nfci — Chicago Fed National Financial Conditions Index; cpi — Consumer Price Index for all urban consumers, all items; ip — industrial production index; unrate — civilian unemployment rate (percent); wti — West Texas Intermediate crude oil price (USD per barrel); inf — year-over-year CPI inflation rate (percent); interest_spread — 10-year-minus-2-year Treasury term spread (US10Y − US2Y), used as the variable TERM in the paper; time — monthly date index in Stata monthly format (576 = 2008m1, …, 794 = 2026m3).