Data for the first chapter, Assessing the Aggregate and Distributional Implications of Large-Scale Bond Purchases in the Euro Area

Here, I provide the details on the estimation data used in my first PhD chapter. For the estimation I use data collected from the OECD, the ECB and Refinitiv. I consider the period from 1999Q1 to 2019Q4. All data are publically available, with the exception of the OIS 10 year that requires a Refinitiv license. Data are transformed as follows:

i) Consumption:

• Nominal private consumption expenditures (OECD) divided by GDP deflator (OECD) and active population (OECD), which is log-transformed, first differenced and de- meaned.

ii) Real wage:

• Compensation of employees (OECD) divided by employment (OECD) and GDP defla- tor (OECD), which is log-transformed, first differenced and demeaned.

iii) Inflation:
• GDP deflator (OECD) log-transformed, first-differenced and demeaned.

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iv) Interest rate:

• Euribor 3-month (ECB), divided by 400 and added to 1 in order to make it quarterly gross rate, log-transformed.

v) Purchase government bonds under the PSPP as a ratio of annualized GDP:

• ECB holding of government bonds, divided by GDP deflator. Divided by annualized real GDP.

vi) Spread between long-term and short-term bonds:

• Difference between the OIS 10-year (Refinitiv) and the Euribor 3-month (ECB).1 The spread is then divided by 400 and added to 1 in order to make them quarterly gross rates, and log-transformed.