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:
- Use the web query on WRDS. The web query allows users to specify a date range and return a single time-series dataset.
- 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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%let wrds = wrds-cloud.wharton.upenn.edu 4016; options comamid=TCP remote=wrds; signon username = _prompt_; libname local "D:\"; rsubmit; %let start = 2008Q1; /*define start quarter */ %let end = 2009Q4; /*define end quarter */ %let var = rssd9001, rssd9999, bhck2170; /*define selected variables */ %macro date_loop(start,end); /*converts the dates to SAS dates*/ %let start=%sysfunc(inputn(&start,anydtdte9.)); %let end=%sysfunc(inputn(&end,anydtdte9.)); /*determines the number of quarters between the two dates*/ %let dif=%sysfunc(intck(quarter,&start,&end)); %do i=0 %to &dif; /*advances the date i quarters from the start date and applies the yymmn. format*/ %let date=%sysfunc(putn(%sysfunc(intnx(quarter,&start,&i,e)),yymmn.)); bank.bhcf&date %end; %mend; data tsbhc; set %date_loop(&start,&end); run; proc sql; create table bhcdata as select &var from tsbhc; quit; proc download data=bhcdata out=local.bhcdata; run; endrsubmit; signoff; |
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 https://www.newyorkfed.org/research/banking_research/datasets.html contains no link for the data.
Wei
Hi Wei, this webpage contains the link to the data (just below Documentation).