Download FR Y-9C data from WRDS

WRDS currently populates FR Y-9C data quarter by quarter in individual datasets, like BHCF200803, BHCF200806, BHCF200809 and so on. WRDS has not stacked those individual datasets to formulate a single time-series dataset like COMPUSTAT.

There are two ways to overcome this:

  1. Use the web query on WRDS. The web query allows users to specify a date range and return a single time-series dataset.
  2. I wrote a SAS script which is equivalent to the web query but with more ease for future update. The code currently can accept a date range and download selected variables.


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2 Responses to Download FR Y-9C data from WRDS

  1. Wei Li says:

    Thank you so much for the code. It really helps! Just wonder where we can get the link table for crsp and rssd id. The one from the contains no link for the data.


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