Download FR Y-9C data from WRDS

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:

  1. Use the web query on WRDS. The web query allows users to specify a date range and return a single time-series dataset.
  2. 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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