Martin Lettau - Research Data

Current cay data: [1951Q2-2019Q3] (see below for details)

Replication Data

Notes for cay data:

  • Please see "Consumption, Aggregate Wealth, and Expected Stock Returns" for a detailed description of data.
  • As of 2014Q3, cay is constructed using personal consumption expenditures (PCE) instead of nondurables and services (NDS), see [PCE Revision].
  • 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 [BEA Revision Notes] for more details.
  • In 2008, the Board of Governors revised the data construction of the financial wealth series in the flow of funds, see [BoG Revision Notes] for more details.
  • While the cointegration and forecasting results are all robust to the change in the data, the revision has affected the point estimates of the cointegration vector.