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I am having annual data for banks which is based on calendar year and annual data for Macro variables which is based on Fiscal year... How can I manage this disparity based on reported timings for my models.
Please note, I can not opt for quarterly or any other data frequency by design! Please be objective and provide relevant references only if any
Thanks
Your issue sounds similar to the challenge of matching up daily stock prices from CRSP with annual report data from Compustat. Since some companies use a fiscal year that does not match the calendar year, one must determine how to assign this annual data. This determination will, of course, depend on the specifics of the data you have.
Let us explore a simple example. Assume we have some banks in the data set with fiscal years that end on March 31st of 2020. As such, nine months of that data cover the last three quarters of the 2019 calendar year and three months cover the first quarter of the 2020 calendar year. Given that 75% of the time covers the 2019 calendar year, many researchers would assign this fiscal year data to 2019.
I typically code with SAS so would most likely use the INTNX function in the situation you describe. A good example is available at: https://communities.sas.com/t5/SAS-Tips-from-the-Community/SAS-Tip-INTNX-function-with-Federal-Fiscal-Year/td-p/442529
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