Measuring Liquidity Mismatch in the Banking Sector, 2017, Journal of Finance
Data: click here to download
-- The first principal component of haircut across assets
-- The proxy of the liquidity premium: the 3-month Tbill-OIS spread
-- Sample period: 2002Q2 - 2015Q1
Note: To construct LMI, you also need bank holding data which can be downloaded from the website of the Federal Reserve Bank of Chicago (link). Please refer to Appendix A of the paper for the details of LMI calculation. If you need Stata code, please contact me.