Martin Lettau - Research Data

Current cay data: [1951Q2-2017Q3]

Current Markov-switching cay: [1951Q2-2017Q3, README], see "Monetary Policy and Asset Valuation" by Bianchi, Lettau and Ludvigson

Data used in "Monetary Policy and Asset Valuation" by Bianchi, Lettau and Ludvigson: [1951Q2-2013Q3]

Data used in "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption": [cay data 1951Q4-2003Q1]

Data used in "Consumption, Aggregate Wealth, and Expected Stock Returns" and "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying": [cay data 1952Q4-1998Q3]

Data used in "Expected Returns and Expected Dividend Growth.": [cay and cdy data 1948 - 2001]

Please see "Consumption, Aggregate Wealth, and Expected Stock Returns" for a detailed description of data.


[Data] for “Conditional Risk Premia in Currency Markets and Other Asset Classes


Notes:

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.