Here is the paper by Auvray&Rabinovich.
You can also look at Joel’s presentation of sept-19. Additionnal paper on the (false) financialization of non financial firms.
1 – Econometrics software : R
Download and install R and then Rstudio. Start the tutorial https://www.datacamp.com/courses/free-introduction-to-r. You can read this textbook.
2 – How to work on the long run
- Write a journal, a log (where the data comes from, what you do to it, issues you face and options you take, ideas, paste your plots)
- save and comment your scripts
- start writing your report from the first day
- start a bibliography
- make a copy of the whole folder on another computer or on the cloud, each time you work on it.
3 – Data
A working script change the extension from .txt to .R
Run the following commands to download, install and call the tidyverse package:
and start describing and plotting the main variables.
- operating surplus, net
- consumption of fixed capital, structures, equipment, and intellectual property products, including equity REIT residential structures (NIPA basis)
- dividends paid
- equity and investment fund shares; liability
- gross fixed capital formation with equity REITs (IMA)
- From Z1, calculate
- Net payouts are prstkc [Purchase of Common and Prefered Stock] +dv [Cash Dividends (Cash Flow)]- sstk [Sale of Common and Preferred Stock]
- investment = capx
- From compustat, calculate
- net payouts = dividends paid – equity and investment fund shares
- investment = gross fixed capital formation
- from Z1, define US.economy=net.payouts/(operating.surplus+consumption.of.capital)
- from compustat, define US.listed.firms=net.payouts/(profit-taxes+interest+depreciation)
Download fig5.csv and make the scatter plots.
4 – Intermediate report
For November 14th, prepare a 5 to 8 pages report with
- an short explanation of the paper results
- a short presentation of the databases (compustat and WIOD)
- choose a variable of one of these databases and study it from a quantification perspective
- replicate figures 1, 2 and 5
5 – Company database
Here a reduced database with prepared variables to start..
Try to replicate the baseline financialisation model with the reduced database.
Here is the database with all the compagnies. Low and hich non-core-non-energy offshoring sectors are defined by comparing ncne with its median. The ncne value is the same for all the compagnies of a given sector. If you want to get into the sectors, you might use the variable PRIMARY_SIC_CODE and need this function transforming the SIC codes into Fama-French industry categories.
6 – Tutoring schedule