R/average_daily_volume_sovereign.R

In Martin-Summer-1090/syslosseval: Provide data and functions to support the analysis in Systemic Loss Evaluation

#' Average daily volume in Million Euro of sovereign bonds of DE, ES, GB, FR, IT, JP, US and the rest
#' of the world.
#'
#' A dataset containing the average daily volume of sovereign bonds for Germany, Spain, Great Britain,
#' France, Italy, Japan, United States and the rest of the world starting in 2009 up to the end of 2019.
#' Rest of the world: We have no data on the ADV in all the rest of exposures, because there are no
#' or insufficient direct observations. Cont and Schaanning (2016) observe a high correlation between
#' nominal debt outsanding and adv. They use this correlation by estimating unobserved ADV using regression
#' techniques. We apply an even simpler estimate. We compute the share of nominal debt outstanding of our
#' observed countries DE, ES, FR, IT, JP, GB, US in the total nominal government debt outstanding. We use this
#' proportionality factor to impute an ADV on the residual position. The dataset is compiled by running the
#' \code{make_price_volume_data} script in the data-raw folder. The exact compilation can be looked up in
#' this script.
#'
#' @format A data frame with 88 rows and 5 variables:
#' \describe{
#'   \item{Country}{Country, ISO-code of the country.The rest of the world all excluding DE, ES, FR, IT, JP, UK, US is calles Total}
#'   \item{Year}{Year, year of the observation}
#'   \item{Volume}{Volume, Average daily turnover volume in Million Euro}
#'   \item{Unit}{Unit, unit of Volume}
#'   \item{Currency}{Currency, currency of volume}
#' }
#' @source The volume data are hand-collected from various sources on the internet
#'         DE \url{https://www.deutsche-finanzagentur.de/en/institutional-investors/secondary-market/}
#'         ES \url{https://www.tesoro.es/sites/default/files/estadisticas/15I.xlsx}
#'         FR \url{https://www.afme.eu/reports/data/details//Government-Bond-Data-Report-Q2-2019}
#'         IT \url{https://infostat.bancaditalia.it/}
#'         JP \url{https://asianbondsonline.adb.org/data-portal/}
#'         UK \url{https://www.dmo.gov.uk/data/gilt-market/turnover-data/}
#'         US \url{https://www.sifma.org/resources/research/us-treasury-trading-volume/}
#'         Total \url{https://www.bis.org/statistics/secstats.htm} and estimation of
#'         Cont and Schaanning 2017, equation (28)
"average_daily_volume_sovereign"