Jordà, Schularick and Taylor (JST) macrofinancial dataset
(now including data on housing returns as well. Coming soon, data on bank capital)
http://www.macrohistory.net/data/
data description
Macrofinancial history and the new business cycle facts, NBER Macroeconomics Annual 2016, v. 31 (with Moritz Schularick and Alan M. Taylor)
some papers that use these data
Bank Capital Redux: Solvency, Liquidity and Crisis. Review of Economic Studies (with Björn Richter, Moritz Schularick and Alan M. Taylor)
The effects of quasi-random monetary experiments. Journal of Monetary Economics 112: 22-40 (with Moritz Schularick and Alan M. Taylor)
The Rate of Returns on Everything: 1870 - 2015. Quarterly Journal of Economics, 134(3): 1225-1298 (with Katharina Knoll, Dmitry Kuvshinov, Moritz Schularick, and Alan M. Taylor)
The Great Mortgaging: Housing Finance, Crises, and Business Cycles. Economic Policy 31(85): 107-152, 2016 (with Moritz Schularik and Alan M. Taylor)
Leveraged Bubbles. Journal of Monetary Economics 76(S): S1-S20, December 2015 (with Moritz Schularick and Alan M. Taylor)
Sovereigns versus Banks: Credit, Crises and Consequences, Journal of the European Economics Association, 14(1): 45-79, February 2015 (with Moritz Schularick and Alan M. Taylor)
Betting the House, Journal of International Economics, 96(S1): S2-S18, July 2015 (with Moritz Schularick and Alan M. Taylor)
When Credit Bites Back, Journal of Money, Credit, and Banking, 45(s2): 3-28, 2013 (with Moritz Schularick and Alan M. Schularick)
Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons, IMF Economic Review ,59(2): 340-378, June 2011 (with Moritz Schularick and Alan M. Taylor)