% @ CAY Data: 1951Q4 - 2009Q1 % http://www.econ.nyu.edu/user/ludvigsons/ % % Log, real, per capita data. See the appendix of % "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption" NBER WP #9848 % paper for a detailed data description. The data are updated based on % "Consumption, Aggregate Wealth, and Expected Stock Returns" Journal of Finance, June 2001. % % NOTE: % % - The asset wealth variable in this file is measured at the END-OF-PERIOD, % e.g. the observation in 1952Q4 is wealth as of December 31 1952. % % - The DLS procedure used to estimate the cointegration coefficients includes 8 leads and lags. % % - In 2003, the BEA undertook comprehensive revisions of all NIPA data series. This resulted in % a number of changes of data classification and data measurement, see % http://faculty.haas.berkeley.edu/lettau/data/Data_Revision_2003.txt for more details. % % % %date c a y cay=c - 0.1969 a - 0.6830 y (demeaned) @ 195201 9.01975865844 10.61793648031 8.72464232872 -0.004033244333 195202 9.03295816350 10.63138725829 8.72683665092 0.005019704225 195203 9.04169433898 10.62930056767 8.73984091947 0.005284782482 195204 9.05027669554 10.62352931422 8.76815047775 -0.004332097173 195301 9.06009301805 10.62258578265 8.78114877830 -0.003207831411 195302 9.06254183636 10.61622880142 8.79307770582 -0.007655031497 195303 9.05833984771 10.61589789685 8.78512065495 -0.006357241625 195304 9.05218331632 10.62007412897 8.77241689654 -0.004659258189 195401 9.05671146135 10.62789450455 8.76164448143 0.005686935912 195402 9.06012534776 10.64039711579 8.76041567182 0.007478903744 195403 9.07208162712 10.66662354946 8.76344055375 0.012206415859 195404 9.08038346995 10.67540645392 8.78324245506 0.005254676235 195501 9.08707359994 10.68265312707 8.79065400776 0.005456203107 195502 9.09382651603 10.70383812095 8.81307596385 -0.007275354934 195503 9.09967296069 10.72296942972 8.82953082671 -0.016433603594 195504 9.11439848238 10.72837544140 8.84048849795 -0.010256329960 195601 9.12130652914 10.74911340111 8.84677987878 -0.011727628975 195602 9.12087331668 10.74257522595 8.85494344177 -0.016449459929 195603 9.12150968267 10.73812737130 8.85431507626 -0.014508343640 195604 9.12835068754 10.74878749422 8.86584577501 -0.017641256439 195701 9.13071713026 10.73975230418 8.86496993216 -0.012898001077 195702 9.13394036023 10.75070420171 8.86545356588 -0.012161018146 195703 9.13907449000 10.73244868982 8.86409526184 -0.002505497453 195704 9.14017781568 10.72592179940 8.85542149262 0.005806828677 195801 9.13137981203 10.72986759865 8.83305920218 0.011505445929 195802 9.13828581001 10.73943207955 8.83516187880 0.015092514874 195803 9.14848994207 10.76696545485 8.85848732884 0.003945384060 195804 9.15217940812 10.78062310198 8.86899662752 -0.002231529985 195901 9.15961544256 10.77933721375 8.87383759869 0.002151270165 195902 9.16799947657 10.78854866696 8.89063884580 -0.002753203333 195903 9.17536462452 10.78552591233 8.88321766402 0.010275628324 195904 9.18048764564 10.79382569010 8.88541438431 0.012264451005 196001 9.17802779608 10.78583002993 8.89258049668 0.006484150337 196002 9.18552857078 10.79008848487 8.89425324137 0.012004151452 196003 9.17912856999 10.77224691637 8.89035319316 0.011780057690 196004 9.18092481280 10.79151238103 8.88368632441 0.014337261749 196101 9.18529244972 10.81529872986 8.88731625652 0.011543225125 196102 9.19590811152 10.82326717355 8.89972977891 0.012111872044 196103 9.19324811235 10.83081345905 8.90832681313 0.002094609987 196104 9.20369000214 10.85089976393 8.92175659060 -0.000590065543 196201 9.20943103902 10.84974894832 8.92954107457 0.000060738247 196202 9.21590847361 10.79361747985 8.93772872386 0.011995750797 196203 9.22055125885 10.80433277084 8.93872229566 0.013850580020 196204 9.22617349199 10.84866542252 8.94239022407 0.008240562583 196301 9.22808574185 10.86402459472 8.94872970689 0.002799449999 196302 9.23261551585 10.87533653666 8.95562951118 0.000389878121 196303 9.24219698374 10.88261442428 8.96225896902 0.004010766320 196304 9.24707990253 10.87138234913 8.97359014438 0.003365612039 196401 9.25840102683 10.88340969699 8.99161503378 0.000008164685 196402 9.27052346795 10.89953922317 9.01510198044 -0.007086063277 196403 9.28285980077 10.90925649460 9.02528259958 -0.003615944096 196404 9.28777995306 10.91988163983 9.03250407104 -0.005719636454 196501 9.29644559796 10.92992033086 9.04056998190 -0.004539139462 196502 9.30771349186 10.92053255212 9.04736341063 0.003936889348 196503 9.31790959472 10.94301361228 9.07317975095 -0.007924970829 196504 9.33890670977 10.96797328609 9.09126662896 -0.004194547924 196601 9.34416508067 10.95736023754 9.09372173619 0.001476216147 196602 9.35255904046 10.95790532665 9.10136419605 0.004543098870 196603 9.35696206494 10.93093875507 9.11538090112 0.004681244131 196604 9.36003498806 10.95396945215 9.12746172664 -0.005030684417 196701 9.36848484787 10.98766629892 9.13962978308 -0.011524930892 196702 9.37448406799 10.99376592460 9.14605214743 -0.011112900528 196703 9.37943270475 11.01079395499 9.15360721367 -0.014676387255 196704 9.38450361801 11.02535301678 9.16385477992 -0.019470538987 196801 9.39859473485 11.01221411309 9.18071730996 -0.014310024388 196802 9.41144721875 11.04684702405 9.19735693333 -0.019639979869 196803 9.42273728512 11.05081010838 9.19847210576 -0.009891722204 196804 9.42778629132 11.08870944752 9.20545643207 -0.017073630527 196901 9.43561847634 11.07909745101 9.20501872341 -0.007050330244 196902 9.44177028193 11.06279728485 9.21335390561 -0.003382669712 196903 9.44505665096 11.05148829358 9.23305708874 -0.011327285203 196904 9.45346055101 11.03873736452 9.23944381096 -0.004775420875 197001 9.46284929466 11.02963532882 9.24294460422 0.004014066751 197002 9.46411984544 10.99058216056 9.26310675133 -0.000798280473 197003 9.47142524868 11.01506034145 9.26742403431 -0.001260199108 197004 9.47497422122 11.02819058618 9.25982001438 0.004897549446 197101 9.47758477838 11.06108478141 9.27735996242 -0.010946977984 197102 9.48001081257 11.06549434970 9.29168331104 -0.019171783955 197103 9.48174952645 11.06575345928 9.29233441085 -0.017928775828 197104 9.49077029665 11.08086095712 9.29927772993 -0.016624243007 197201 9.50025907384 11.10696013032 9.30731766688 -0.017764446767 197202 9.51522062252 11.11252161832 9.31539933844 -0.009417454342 197203 9.52458546684 11.12623006696 9.32525258198 -0.009480907186 197204 9.53918534764 11.17066594998 9.35797073571 -0.025974803166 197301 9.54571021960 11.15836385348 9.37030381627 -0.025451663928 197302 9.54569218535 11.14515741060 9.37485496365 -0.025978372742 197303 9.54961658823 11.16616550002 9.37529192033 -0.026487940101 197304 9.54755239378 11.12904735280 9.37962607492 -0.024205484727 197401 9.53859755302 11.10208922986 9.36787723261 -0.019829087005 197402 9.54110988384 11.06590507231 9.36605155956 -0.008946824885 197403 9.54422150085 11.01744986315 9.36615992695 0.003629388260 197404 9.54380733563 11.01895351468 9.35826045539 0.008314535039 197501 9.54606725167 11.05611663170 9.35428918036 0.005971103255 197502 9.55783129953 11.09193428157 9.39976813168 -0.020377671561 197503 9.56096420186 11.06145556411 9.38312713188 0.000120839866 197504 9.56602955454 11.07199948841 9.39182690258 -0.002831336750 197601 9.57892570496 11.09856842173 9.40755379207 -0.005906803842 197602 9.58699368639 11.12118615351 9.41248129671 -0.005656686409 197603 9.59443115938 11.12149068344 9.41922529709 -0.002885290640 197604 9.60436179388 11.13002360005 9.42311897542 0.002706234527 197701 9.60939740916 11.12666668220 9.42319895201 0.008348049387 197702 9.60819635994 11.13820844277 9.43132138464 -0.000672637432 197703 9.61386020406 11.14117735522 9.44342062051 -0.003856972927 197704 9.62220560846 11.14601769027 9.45355356622 -0.003385176062 197801 9.63105284441 11.15084686187 9.45792727202 0.001524191123 197802 9.63898340555 11.16803671147 9.46669473610 0.000082710420 197803 9.64288817820 11.18420041103 9.47323909521 -0.003664183749 197804 9.64703486401 11.18418160419 9.48020346915 -0.004270439352 197901 9.65306430941 11.20529875079 9.48477101894 -0.005517613538 197902 9.65351076987 11.21164398314 9.47713050730 -0.001101795258 197903 9.65551289058 11.22078754870 9.48138532256 -0.003805647985 197904 9.66002031265 11.22213560202 9.48206641581 -0.000028780221 198001 9.65819487496 11.21103993105 9.48186991704 0.000464219344 198002 9.64583519777 11.22585161192 9.46892770431 -0.005971712113 198003 9.64756337874 11.24231879210 9.47812129195 -0.013764353429 198004 9.65488316581 11.24855033040 9.48468973252 -0.012157493228 198101 9.65176822262 11.23961411217 9.47603420366 -0.007601607819 198102 9.65558802412 11.24796524338 9.47344244066 -0.003655596164 198103 9.65206804937 11.23243706283 9.48194194682 -0.009923917273 198104 9.65152495208 11.24089936617 9.48229171097 -0.012371742108 198201 9.65200969896 11.23729259728 9.47981377949 -0.009484568945 198202 9.65477324370 11.23724209757 9.48133164399 -0.007747779389 198203 9.65909475226 11.24022332977 9.48593080750 -0.007154351837 198204 9.67051219988 11.25322534920 9.48599122431 0.001662329380 198301 9.67819210515 11.27676176279 9.48895044327 0.002687856694 198302 9.68716491167 11.29297888934 9.49637358100 0.003398276265 198303 9.69958215236 11.28672106236 9.50333519838 0.012292635488 198304 9.70608404766 11.28256236931 9.51813206528 0.009506977367 198401 9.70764780776 11.28520032121 9.53307109001 0.000348142731 198402 9.71713337176 11.28804871389 9.54308107955 0.002436200052 198403 9.72513664977 11.30579253954 9.55039793715 0.001949142978 198404 9.73236315449 11.31585264700 9.55814204893 0.001906071538 198501 9.74467410414 11.33494249352 9.55476695675 0.012764281456 198502 9.75090225019 11.35085225195 9.57379854426 0.002862015702 198503 9.75993450975 11.35039040762 9.57125378810 0.013723251025 198504 9.76561948539 11.38324559389 9.57833301653 0.008105456917 198601 9.76849334040 11.41140358894 9.58567483099 0.000421858558 198602 9.77131188243 11.43453122657 9.59299823862 -0.006314234053 198603 9.77505798527 11.42730610330 9.59596479708 -0.003171984767 198604 9.78331897890 11.44950899563 9.59988925743 -0.001962116415 198701 9.79208357139 11.48410541973 9.60648193640 -0.004510752014 198702 9.79952654473 11.49246387271 9.59644507797 0.008141964906 198703 9.80293079851 11.50415003657 9.60723337528 0.001877378214 198704 9.80896461194 11.46524761345 9.61596319613 0.009606858613 198801 9.81815473744 11.48103964684 9.62419965042 0.010062786107 198802 9.82522113719 11.49361881496 9.63339687979 0.008371247726 198803 9.83345524770 11.49264752209 9.63531437631 0.015486917725 198804 9.83923849658 11.50055853593 9.63963344663 0.016762940144 198901 9.84248372636 11.50924122688 9.64096594835 0.017388851752 198902 9.84278227212 11.51829227068 9.63446122158 0.020348367829 198903 9.84642273222 11.53833721630 9.63871811429 0.017135453318 198904 9.85427787761 11.54019343834 9.64388124201 0.021098795035 199001 9.85556628328 11.52191982398 9.65048711944 0.021472646432 199002 9.86282178834 11.52300734891 9.65471911906 0.025623626381 199003 9.86605013330 11.48779275683 9.65148450517 0.037993341398 199004 9.85870228402 11.49396159881 9.64345936070 0.034912276018 199101 9.85392330830 11.51810226306 9.64569327821 0.023855351495 199102 9.85941751306 11.51024798771 9.65096070882 0.027298066104 199103 9.85919248079 11.51202948804 9.65124814363 0.026526021050 199104 9.85821581556 11.52788872378 9.65659309905 0.018776812596 199201 9.86704636567 11.52081569269 9.67204183586 0.018448283998 199202 9.86854987692 11.51239850401 9.67714698457 0.018121954931 199203 9.87247656755 11.51490125876 9.68282581748 0.017677344329 199204 9.87929610355 11.53206857410 9.69322225918 0.014016688301 199301 9.87952033621 11.53621267125 9.66642881953 0.031724965860 199302 9.88129135134 11.53666658377 9.68225681964 0.022596156397 199303 9.88872337981 11.54770629850 9.68617359486 0.025179826724 199304 9.89179449003 11.55754643556 9.69798924563 0.018243815660 199401 9.89766888619 11.54787901484 9.68450980353 0.035227696967 199402 9.90182773005 11.54762485914 9.69552073941 0.031916140839 199403 9.90463059921 11.55290000036 9.69373791178 0.034898241560 199404 9.90663000925 11.55445184367 9.70228478060 0.030754682535 199501 9.90900052933 11.57187065941 9.70901109612 0.025102185315 199502 9.91402365698 11.59061709119 9.70680878963 0.027939167227 199503 9.91587074357 11.61259440633 9.70988738453 0.023357257560 199504 9.91820688749 11.62834266559 9.70855939047 0.023500306155 199601 9.92422231885 11.64307849107 9.71420201463 0.022761035569 199602 9.92817274152 11.65414270210 9.71856888866 0.021550861948 199603 9.93044735137 11.66078055582 9.72234601639 0.019939017182 199604 9.93389267897 11.66468095616 9.72204265183 0.022823731603 199701 9.93997113219 11.66559160134 9.72881760423 0.024095651165 199702 9.94369833860 11.71711287627 9.73428589828 0.013945852836 199703 9.95151219450 11.74846560258 9.74132264375 0.010781720239 199704 9.95632735876 11.75238875375 9.75145495857 0.007904259350 199801 9.96480266605 11.80215481301 9.76700033107 -0.004034526703 199802 9.97322007886 11.81769431818 9.77656708898 -0.005210193496 199803 9.98058561832 11.77396705404 9.78418519426 0.005560101015 199804 9.98336300585 11.84097680819 9.79186070785 -0.010096011547 199901 9.99149511433 11.85391717814 9.80453223874 -0.013165881360 199902 9.99959800681 11.88267902347 9.80371397285 -0.010166005693 199903 10.00524692676 11.86185990061 9.80784328540 -0.003239060654 199904 10.01603856834 11.93483186668 9.81872728841 -0.014245992845 200001 10.02286332424 11.95448367486 9.83747697618 -0.024095750329 200002 10.03102206174 11.93756217132 9.83898987757 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-0.018890924910 200402 10.08873229493 11.93835264534 9.92948732362 -0.017894072026 200403 10.09322666957 11.94283347282 9.93632898838 -0.018954600682 200404 10.09969176798 11.98763121318 9.93799166477 -0.022443727232 200501 10.10195029573 11.99669193078 9.93454072981 -0.019611862870 200502 10.10525756469 12.02177397269 9.93754434192 -0.023293555634 200503 10.11181051194 12.04558520342 9.94356712662 -0.025541490178 200504 10.11616115761 12.05887115079 9.93952072052 -0.021042557298 200601 10.11971782883 12.08502010077 9.95109674791 -0.030539803486 200602 10.12494183476 12.06732755460 9.94671416822 -0.018839658837 200603 10.12708972199 12.07070814606 9.94865312282 -0.018681554555 200604 10.13331867103 12.10048946560 9.96187099879 -0.027342947033 200701 10.13825135357 12.10482918565 9.97192899105 -0.030134130911 200702 10.13982328816 12.11155053843 9.96301319854 -0.023795866910 200703 10.14187895088 12.10293708516 9.96599623480 -0.022082013444 200704 10.14242419670 12.06310079502 9.96549054046 -0.013349439694 200801 10.14387740391 12.01148919610 9.96479012311 -0.001257890600 200802 10.14508814247 11.98680032894 9.98987336186 -0.012318811619 200803 10.13766402976 11.92578415165 9.96481960260 0.009379997514 200804 10.13061642127 11.84392235825 9.97526573529 0.011312552690 200901 10.13043612874 11.81751141880 9.99668737908 0.001700454561