% @ CAY Data: 1951Q4 - 2005Q4 % % 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. % % - CAY is computed as cay=c - 0.22131 a - 0.6367 y - 1.2007. The column denoted cay reports % the demeaned time series of cay. % % - 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://pages.stern.nyu.edu/~mlettau/data/Data_Revision_2003.txt for more details. % % % % date c a y cay (demeaned) @ 195104 9.01217305601 10.59097006636 8.73201328847 0.001509172840 195201 9.01033848807 10.59827186780 8.74120219522 -0.007731892934 195202 9.02352919528 10.61194745809 8.74385530367 0.000855864091 195203 9.03227639387 10.60975835918 8.75535406620 0.002747899453 195204 9.04086072592 10.60406211453 8.78366762184 -0.005482133810 195301 9.05067473032 10.60315176027 8.79635447633 -0.003552224063 195302 9.05311544052 10.59675330456 8.80853990287 -0.007507071160 195303 9.04892137989 10.59639412665 8.80105960680 -0.006861708494 195304 9.04276633530 10.60092013402 8.78739005145 -0.005277278720 195401 9.04729674466 10.60909302816 8.77715288516 0.004030127809 195402 9.05070736019 10.62198230594 8.77640380183 0.005171584509 195403 9.06266538095 10.64854584363 8.78037360213 0.008942446984 195404 9.07096768719 10.65759845374 8.79928400123 0.003275310888 195501 9.07765356913 10.66506584684 8.80694666979 0.003491210442 195502 9.08440447572 10.68663050975 8.82892865873 -0.008348836471 195503 9.09025082601 10.70614809079 8.84453056421 -0.016594934649 195504 9.10497386337 10.71182041173 8.85566727596 -0.010171444877 195601 9.11188601682 10.73285902440 8.86173760508 -0.011606800405 195602 9.11144800151 10.72635453091 8.87006510655 -0.015961340095 195603 9.11209370579 10.72209853303 8.86922905323 -0.013876539108 195604 9.11893725686 10.73329111445 8.88085627146 -0.016820970613 195701 9.12129352104 10.72432013333 8.88021904876 -0.012147661596 195702 9.12452111750 10.73559010853 8.88053629706 -0.011523185176 195703 9.12966135373 10.71713262453 8.87942609715 -0.001743604358 195704 9.13075627536 10.71070504352 8.87114922006 0.005990845471 195801 9.12195786878 10.71497854537 8.84970629553 0.009935216772 195802 9.12886248783 10.72475440676 8.85208667941 0.013241391545 195803 9.13907107772 10.75277422123 8.87493513858 0.002932024247 195804 9.14276190791 10.76669342536 8.88558818158 -0.003125764911 195901 9.15019910550 10.76537524833 8.89091594200 0.001199952877 195902 9.15857901408 10.77475088544 8.90733027625 -0.002869093925 195903 9.16594735405 10.77180372752 8.90025319912 0.009633310361 195904 9.17106814074 10.78029891380 8.90262105115 0.011436485830 196001 9.16860928167 10.77231251137 8.90949804420 0.006300406269 196002 9.17610674303 10.77674426351 8.91135393400 0.011671969297 196003 9.16971400364 10.75882404643 8.90773934870 0.011398714548 196004 9.17150671400 10.77854954405 8.90103062201 0.013260437874 196101 9.17586990355 10.80272539913 8.90521073790 0.009811262452 196102 9.18648380765 10.81079727862 8.91734251773 0.010980796329 196103 9.18382541559 10.81861752728 8.92599899659 0.001144459550 196104 9.19426566268 10.83912867040 8.93943891757 -0.001342833098 196201 9.20000997958 10.83796222527 8.94761434936 -0.000555509491 196202 9.20648830642 10.78123544513 8.95552924622 0.012969097151 196203 9.21112988762 10.79224531329 8.95671655519 0.014508985079 196204 9.21675738178 10.83728812446 8.96083878313 0.007915172484 196301 9.21866964854 10.85288225845 8.96726626295 0.002412494251 196302 9.22319606995 10.86445602909 8.97426932540 0.000014039075 196303 9.23277391550 10.87211516652 8.98062032635 0.003916223059 196304 9.23765730472 10.86089947401 8.99221761337 0.003804873034 196401 9.24898472693 10.87309659549 9.01006765742 0.001168055979 196402 9.26110351132 10.88924889784 9.03332210581 -0.004961192916 196403 9.27344253386 10.89914096608 9.04347878130 -0.001196739905 196404 9.27835934979 10.90973534577 9.05100226619 -0.003327503321 196501 9.28702401940 10.91992825657 9.05908509771 -0.001981028803 196502 9.29829384620 10.91054965900 9.06642297222 0.006614735851 196503 9.30848922791 10.93330627827 9.09188942663 -0.004253437374 196504 9.32949083330 10.95832877745 9.10978567673 0.000022002725 196601 9.33474756951 10.94782515198 9.11276280000 0.005620972710 196602 9.34313662482 10.94808825473 9.12129687234 0.008520107246 196603 9.34754112179 10.92093499707 9.13531441598 0.009784395950 196604 9.35061823365 10.94406636324 9.14812402169 -0.000222944340 196701 9.35906216769 10.97801275584 9.16086118254 -0.007121525824 196702 9.36506020063 10.98419922217 9.16813053944 -0.007070136215 196703 9.37001117010 11.00144481679 9.17660050108 -0.011186464216 196704 9.37508038184 11.01574077526 9.18745049717 -0.016071546214 196801 9.38917538452 11.00267105452 9.20448044888 -0.010035392292 196802 9.40202499840 11.03769731817 9.22209234985 -0.015862239061 196803 9.41331408258 11.04182208468 9.22326853510 -0.006200862970 196804 9.41836804889 11.07987737381 9.23054073275 -0.013885147377 196901 9.42620154318 11.07011750171 9.23060465050 -0.004012965741 196902 9.43235197348 11.05375396070 9.23873611026 0.000446280247 196903 9.43564080871 11.04249992713 9.25831569994 -0.006333994468 196904 9.44404264386 11.02972901671 9.26526836556 0.000361798827 197001 9.45342697871 11.02032719974 9.26974436115 0.008899251169 197002 9.45470011124 10.98067669674 9.29090349841 0.005147532610 197003 9.46200808224 11.00574746494 9.29626154445 0.003702454577 197004 9.46555360504 11.01909167415 9.29123677863 0.007604331419 197101 9.46816341806 11.05212241286 9.30850991163 -0.007821458112 197102 9.47059158521 11.05651461983 9.32291367149 -0.015500318800 197103 9.47232967952 11.05673309359 9.32438844320 -0.014747796788 197104 9.48135140820 11.07191700012 9.33173844776 -0.013641007724 197201 9.49083568598 11.09805262607 9.34015592603 -0.015084671772 197202 9.50580014441 11.10363410444 9.34829630529 -0.006492563780 197203 9.51516569045 11.11728870084 9.35889768137 -0.006786363539 197204 9.52976327776 11.16190246691 9.39129940141 -0.022324960118 197301 9.53628724950 11.14929745259 9.40423575401 -0.021352344082 197302 9.53627031347 11.13591772103 9.40871337266 -0.021369683144 197303 9.54019608749 11.15694485716 9.40845698888 -0.021760590531 197304 9.53813126772 11.11967756787 9.41303329307 -0.018799295447 197401 9.52917817090 11.09246162303 9.40392983964 -0.016157505349 197402 9.53169195628 11.05604673716 9.40313828598 -0.005381359039 197403 9.53479996410 11.00714866271 9.40415441668 0.007497610604 197404 9.53438429718 11.00870363213 9.39710440949 0.011239573034 197501 9.53664760548 11.04595534711 9.39504585691 0.006876966805 197502 9.54840842117 11.08219677981 9.44665395029 -0.021943834226 197503 9.55154632006 11.05162417981 9.42434425791 0.001912857685 197504 9.55660894665 11.06232341520 9.43353010639 -0.001152905134 197601 9.56950672825 11.08904530036 9.45013287548 -0.004519757843 197602 9.57757448318 11.11170179723 9.45431461556 -0.003941695825 197603 9.58500915715 11.11204986149 9.46156048684 -0.001194812989 197604 9.59493865205 11.12224899384 9.46491039228 0.004428738251 197701 9.59997706892 11.11837499147 9.46454291750 0.010526509800 197702 9.59877742328 11.12994495193 9.47287069124 0.001559321264 197703 9.60444054330 11.13263152102 9.48402605019 -0.000452851360 197704 9.61278610073 11.13681840791 9.49366667416 0.000862234954 197801 9.62163097740 11.14140337973 9.49914255359 0.005243627724 197802 9.62956331148 11.15880326640 9.50813102165 0.003745645192 197803 9.63346950083 11.17518885896 9.51466507957 0.000000404633 197804 9.63761539297 11.17492871619 9.52092912758 0.000213239304 197901 9.64364308264 11.19624846445 9.52570933543 -0.001345023501 197902 9.64409061470 11.20254805657 9.51868581821 0.002232407472 197903 9.64609632571 11.21176163440 9.52399291875 -0.001104045227 197904 9.65059905098 11.21310996993 9.52512897178 0.002388056515 198001 9.64877316740 11.20174361796 9.52719109720 0.001670817444 198002 9.63641363818 11.21647226122 9.51288906657 -0.004720242265 198003 9.63814625302 11.23268491295 9.52589567678 -0.014723453667 198004 9.64546395239 11.23855995537 9.53097258047 -0.011890055430 198101 9.64234794015 11.22941997452 9.52279579377 -0.007852380424 198102 9.64616792040 11.23780282729 9.52026984670 -0.004210069232 198103 9.64264752571 11.22223621672 9.52812991461 -0.009418635664 198104 9.64210210454 11.23083540295 9.52647777426 -0.010744192156 198201 9.64259137964 11.22721079745 9.52401324419 -0.007913447959 198202 9.64535521762 11.22745234024 9.52586551742 -0.006380462254 198203 9.64967431402 11.23041857717 9.53062967064 -0.005726796314 198204 9.66109130530 11.24432225719 9.53116897500 0.002384563186 198301 9.66877196252 11.26692087859 9.53509343496 0.002751675063 198302 9.67774602587 11.28325712884 9.54193205115 0.003890900939 198303 9.69016159624 11.27711670501 9.54862910222 0.013350530358 198304 9.69666364257 11.27290073765 9.56294561638 0.011635111401 198401 9.69822762326 11.27680972850 9.57738610748 0.003171627929 198402 9.70771310182 11.27968715090 9.58691443736 0.005977123336 198403 9.71571834889 11.29769906248 9.59388611885 0.005705799496 198404 9.72294315395 11.30777518260 9.60163192962 0.005851882116 198501 9.73525181755 11.32714742683 9.59873042067 0.015880666499 198502 9.74148443193 11.34332180609 9.61717370749 0.006923935556 198503 9.75051354058 11.34301000678 9.61493852138 0.017442675527 198504 9.75620198935 11.37637265643 9.62197670637 0.011541663837 198601 9.75907380685 11.40502754938 9.62966352284 0.003414029501 198602 9.76189064211 11.42820136886 9.63743387994 -0.003654011781 198603 9.76563919755 11.42115207526 9.64046919177 -0.000336233935 198604 9.77389937182 11.44379747809 9.64451219677 0.000524947280 198701 9.78266374990 11.47964990003 9.65093441146 -0.002438388188 198702 9.79010629121 11.48931693500 9.64159387374 0.008891910042 198703 9.79351058346 11.50253550027 9.65195231576 0.002884437344 198704 9.79954657660 11.46424641216 9.66081432328 0.011435425639 198801 9.80873608385 11.48035276355 9.66976496468 0.011494295118 198802 9.81579939730 11.49338869707 9.67881796591 0.010015962209 198803 9.82403505446 11.49229825682 9.68090676325 0.017153951140 198804 9.82981884297 11.50045910223 9.68564050351 0.018184938794 198901 9.83306184770 11.50938731500 9.68825806587 0.017859076975 198902 9.83336313306 11.51829174642 9.68250388590 0.019927068294 198903 9.83700256553 11.53855868485 9.68743433284 0.016109193118 198904 9.84485876903 11.54081052844 9.69365204977 0.019526649149 199001 9.84614621871 11.52228920223 9.70040297611 0.020461662024 199002 9.85341926775 11.52357645010 9.70544298779 0.024251350656 199003 9.85661051389 11.48810309404 9.70333065197 0.036345336804 199004 9.84927221280 11.49416420802 9.69813330474 0.031024973611 199101 9.84450900235 11.51823878516 9.70110373493 0.019241214225 199102 9.85001222922 11.51100177258 9.70900663923 0.021254335311 199103 9.84978195038 11.51265726860 9.71074153754 0.019566690648 199104 9.84879312465 11.52997210319 9.72064955418 0.008580168591 199201 9.85763557528 11.52119615033 9.73457931619 0.010422934855 199202 9.85912676346 11.51245553149 9.74145086471 0.009401058471 199203 9.86305239652 11.51556608701 9.74857275710 0.008129279561 199204 9.86987935331 11.53150868171 9.75816563776 0.005451557266 199301 9.87010827905 11.53624687449 9.73394634011 0.020092045243 199302 9.87189733315 11.53643764280 9.74847452817 0.012589980590 199303 9.87931405843 11.54678835147 9.75436512509 0.014050743935 199304 9.88238631590 11.55594881101 9.76518173932 0.008284104318 199401 9.88828021840 11.54492640538 9.75332371454 0.024076693183 199402 9.89239646332 11.54404579929 9.76310497722 0.022152571252 199403 9.89520565298 11.54844204928 9.76058128229 0.025632021835 199404 9.89721871943 11.54731929983 9.77148812037 0.020939628093 199501 9.89959575342 11.56487202551 9.77924023865 0.014640998449 199502 9.90461060266 11.58644298331 9.77673927938 0.016652482094 199503 9.90647654274 11.61027139180 9.77913280108 0.011917653215 199504 9.90879993130 11.62714449325 9.77492395185 0.013326033888 199601 9.91480617545 11.64157405493 9.78294517527 0.011150672558 199602 9.91874826353 11.65137026937 9.78971793733 0.008693238774 199603 9.92103996652 11.65728793027 9.79126425656 0.008739575396 199604 9.92447252284 11.67997105085 9.78977955183 0.008284739089 199701 9.93055475758 11.67949108830 9.79735122991 0.009648147944 199702 9.93427273852 11.73045087487 9.80167554038 -0.000244487749 199703 9.94210330979 11.76103772968 9.80875334139 -0.003437205685 199704 9.94691560636 11.77117361981 9.81866537594 -0.007095656767 199801 9.95540065223 11.82144536508 9.83319617626 -0.018573374394 199802 9.96378554468 11.83331840871 9.84251918579 -0.018654290570 199803 9.97116458498 11.78773055221 9.84881001072 -0.005568080368 199804 9.97395005795 11.84552724798 9.85719950243 -0.020438265329 199901 9.98207484192 11.85917231766 9.87056826423 -0.023732863810 199902 9.99018062506 11.88263650324 9.86889014386 -0.019557730015 199903 9.99582174799 11.85966588359 9.87379768939 -0.012147373100 199904 10.00663583416 11.93495580845 9.88435228853 -0.024094537564 200001 10.01344759907 11.94617050197 9.90136674950 -0.030505663698 200002 10.02156486584 11.92812607918 9.90400179928 -0.020221754677 200003 10.02723047432 11.92502467747 9.91551337989 -0.021225100744 200004 10.03411271942 11.88911848110 9.91508173821 -0.006418038644 200101 10.03439101450 11.83986861428 9.91950387050 0.001537479562 200102 10.03482273242 11.85799698510 9.91789486402 -0.000868638709 200103 10.03604732065 11.80606964581 9.93705791302 -0.000782304152 200104 10.04042286380 11.83995491180 9.93071511554 0.000412451847 200201 10.04310583524 11.84377005386 9.96025937034 -0.016529004626 200202 10.04625800065 11.79962359149 9.96609679560 -0.007688073573 200203 10.04631802267 11.75027953566 9.96498287706 0.003594186323 200204 10.04856928518 11.77147971036 9.96627179705 0.000507965716 200301 10.05245079209 11.76264313944 9.97061963816 0.003503761144 200302 10.05447980983 11.80310860415 9.98036365609 -0.009292842946 200303 10.06072967982 11.81712071478 9.99632446402 -0.016190978265 200304 10.06721021991 11.86611029052 9.99399148253 -0.018662421674 200401 10.07561000092 11.86934307825 10.00278183702 -0.016548447913 200402 10.07910586988 11.87432684504 10.00406447094 -0.014931079627 200403 10.08486630361 11.88314370280 10.01277585745 -0.016595883867 200404 10.09206271553 11.91571658865 10.02404281572 -0.023513239404 200501 10.09860433279 11.91659981784 10.02776301332 -0.019528544601 200502 10.10276338049 11.92822423820 10.02571209502 -0.016540259928 200503 10.10858080282 11.94219810673 10.03094136384 -0.017029645550 200504 10.11386191840 11.95375230861 10.03211349249 -0.014956530337