Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior (doi:10.7910/DVN/3UHSJR)

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Part 1: Document Description
Part 2: Study Description
Part 3: Data Files Description
Part 4: Variable Description
Part 5: Other Study-Related Materials
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Document Description

Citation

Title:

Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior

Identification Number:

doi:10.7910/DVN/3UHSJR

Distributor:

Harvard Dataverse

Date of Distribution:

2007-12-03

Version:

2

Bibliographic Citation:

John Y. Campbell; John Cochrane, 2007, "Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior", https://doi.org/10.7910/DVN/3UHSJR, Harvard Dataverse, V2, UNF:3:0awoLDm/Dy6gYy+DQnNXSA== [fileUNF]

Study Description

Citation

Title:

Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior

Identification Number:

doi:10.7910/DVN/3UHSJR

Authoring Entity:

John Y. Campbell (Harvard University)

John Cochrane (Harvard University)

Producer:

John Y. Campbell

Distributor:

Harvard Dataverse

Distributor:

The Harvard Dataverse Network

Date of Deposit:

2007-06

Date of Distribution:

2007

Holdings Information:

https://doi.org/10.7910/DVN/3UHSJR

Study Scope

Keywords:

Social Sciences, Risk, Stock-Prices

Topic Classification:

Contributed, Economics, John Campbell, Economic theory, Replication

Abstract:

We present a consumption-based model that explains a wide variety of dynamic asset pricing phenomena, including the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. The model captures much of the history of stock prices from consumption data. It explains the short-and long-run equity premium puzzles despite a low and constant risk-free rate. The results are essentially the same whether we model stocks as a claim to volatile dividends poorly correlated with consumption. The model is driven by an independently and identically distributed consumption growth process and adds a slow- moving external habit to the standard power utility function. These features generate slow countercyclical variations in risk premia. The model posits a fundamentally novel description of risk premia: Investors fear stock primarily because they do poorly in recessions unrelated to the risks of long-run average consumption growth.

Notes:

Subject: STANDARD DEPOSIT TERMS 1.0 Type: DATAPASS:TERMS:STANDARD:1.0 Notes: This study was deposited under the of the Data-PASS standard deposit terms. A copy of the usage agreement is included in the file section of this study.;

Methodology and Processing

Sources Statement

Data Access

Notes:

<a href="http://creativecommons.org/publicdomain/zero/1.0">CC0 1.0</a>

Other Study Description Materials

Related Publications

Citation

Title:

Campbell, John Y.; Cochrane, John H., 1999, "By force of habit: a consumption-based explanation of aggregate stock market behavior," The Journal of Political Economy, Vol 107, pages 205-251: <a href="http://faculty.chicagogsb.edu/john.cochrane/research/Papers/" target="_new">article available here</a>

Bibliographic Citation:

Campbell, John Y.; Cochrane, John H., 1999, "By force of habit: a consumption-based explanation of aggregate stock market behavior," The Journal of Political Economy, Vol 107, pages 205-251: <a href="http://faculty.chicagogsb.edu/john.cochrane/research/Papers/" target="_new">article available here</a>

File Description--f104518

File: ASBBI.tab

  • Number of cases: 70

  • No. of variables per record: 5

  • Type of File: text/tab-separated-values

Notes:

UNF:3:mAS8rCvpohH1Dr5JY4FHBQ==

Annual sbbi data from 1926-95

File Description--f104491

File: ASIA.tab

  • Number of cases: 70

  • No. of variables per record: 3

  • Type of File: text/tab-separated-values

Notes:

UNF:3:wgiczy8M1PtHlF9BIdnceA==

Annual crsp data downloaded 8/3/94

File Description--f104499

File: CNS.tab

  • Number of cases: 189

  • No. of variables per record: 4

  • Type of File: text/tab-separated-values

Notes:

UNF:3:4kCSIxV1LGBvXP7en5bZvg==

Personal Consumption Expenditures Data File

File Description--f104508

File: CNS2.tab

  • Number of cases: 148

  • No. of variables per record: 6

  • Type of File: text/tab-separated-values

Notes:

UNF:3:ahlhdPcWoYruaGhXWC9tBg==

Personal Consumption Expend

File Description--f104498

File: CONSUME.tab

  • Number of cases: 104

  • No. of variables per record: 2

  • Type of File: text/tab-separated-values

Notes:

UNF:3:r4UVgPM6LVE2uFurcMS20Q==

This file contains aggregate nominal per capita consumption of nondurables and services and the corresponding consumption deflator, annually 1889-1992. The deflator is 1 in 1987, so it converts to 1987 dollars. The series are updated versions of the ones used in Grossman and Shiller (1981), Campbell and Shiller (RFS 1988), and elsewhere in the equity premium literature.

File Description--f104511

File: GDIV.tab

  • Number of cases: 148

  • No. of variables per record: 3

  • Type of File: text/tab-separated-values

Notes:

UNF:3:Myvp3u/PBWi6hE98cfMv5g==

National income Data File

File Description--f104505

File: GPOP.tab

  • Number of cases: 200

  • No. of variables per record: 3

  • Type of File: text/tab-separated-values

Notes:

UNF:3:4C3WodI0xYvc+DACIUvEJw==

Population: Total Income Armed Forces Data File

File Description--f104504

File: GPOP1.tab

  • Number of cases: 201

  • No. of variables per record: 3

  • Type of File: text/tab-separated-values

Notes:

UNF:3:TQ0TrKu5S1AKwZ5A7CixSQ==

Population: Total Income Armed Forces Overseas Data File

File Description--f104502

File: MDAT.tab

  • Number of cases: 554

  • No. of variables per record: 7

  • Type of File: text/tab-separated-values

Notes:

UNF:3:TVU/Bs/LZQiT2WmbgOq5HA==

Interest Rate, Personal Consumption Expenditures, and Industrial Production Data File

File Description--f104512

File: MNBERDAT.tab

  • Number of cases: 18

  • No. of variables per record: 2

  • Type of File: text/tab-separated-values

Notes:

UNF:3:/5v5EUKG+rJsvqpCLCTv1g==

Monthly nber dates 1947-93

File Description--f104507

File: MSIA.tab

  • Number of cases: 201

  • No. of variables per record: 3

  • Type of File: text/tab-separated-values

Notes:

UNF:3:TQ0TrKu5S1AKwZ5A7CixSQ==

crsp value weighted return and price appreciation, monthly data

File Description--f104532

File: PUNEW.tab

  • Number of cases: 591

  • No. of variables per record: 3

  • Type of File: text/tab-separated-values

Notes:

UNF:3:+DYCL6d4uQQh4jtTozL2nA==

All Items (82-84=100,SA)

File Description--f104531

File: QSBBI.tab

  • Number of cases: 804

  • No. of variables per record: 3

  • Type of File: text/tab-separated-values

Notes:

UNF:3:HrxJjZIfjejzH0dJEO4lpg==

Quarterly sbbi data

File Description--f104517

File: QSIA.tab

  • Number of cases: 280

  • No. of variables per record: 3

  • Type of File: text/tab-separated-values

Notes:

UNF:3:QQrBjb7QuwRDAJrLChjHPA==

Data file

File Description--f104500

File: RATECPI.tab

  • Number of cases: 568

  • No. of variables per record: 5

  • Type of File: text/tab-separated-values

Notes:

UNF:3:4OWhALg4iXvF9N5+fbhTWA==

Interest rate and CPI-U data

File Description--f104530

File: SPV90.tab

  • Number of cases: 120

  • No. of variables per record: 6

  • Type of File: text/tab-separated-values

Notes:

UNF:3:0gT8n/eZye8+LmoGspyqPw==

Sangjoon Kim updates of SPV.ASC to 1990

File Description--f104506

File: USAYE.tab

  • Number of cases: 124

  • No. of variables per record: 4

  • Type of File: text/tab-separated-values

Notes:

UNF:3:kmq8aptHEXAPPZZ/lBoTKg==

This file contains annual data on Equity Markets for the US. It contains data on the S&P 500 Price Index and Dividends. This data is an updated version of that used in Grossman and Shiller (1981) and elsewhere in the equity premium literature. The updating is based on CRSP Indices Files on the S&P 500 Universe.

File Description--f104525

File: USAYM.tab

  • Number of cases: 125

  • No. of variables per record: 6

  • Type of File: text/tab-separated-values

Notes:

UNF:3:pqXN4NgyiDOz6J42bsENwA==

This file contains annual data on several macroeconomic variables for the US. This data is extracted from the Ibbotson Stocks, Bonds, Bills and Inflation CRSP Indices Files and Citibase. The early part of the sample is taken from the USAYE data set mentioned above.

Variable Description

List of Variables:
  • DATE
  • GB
  • CB
  • TB
  • CPINSA
  • V1
  • VWR
  • VWRX
  • year - Year
  • Q2 - Month, Quarter, or Annual
  • cn - PERSONAL CONSUMPTION EXPENDITURES:NONDUR.GOODS(BIL.1987$)(T.
  • cs - PERSONAL CONSUMPTION EXPENDITURES:SERVICES(BIL.1987$)(T.1.2)
  • YR2 - YEAR
  • Q2 - MONTH, QUARTER, OR ANNUAL
  • CN2 - PERSONAL CONSUMPTION EXPEND - NONDURABLES
  • CNF2 - PERSONAL CONSUMPTION EXPEND(FIXED)-NONDURABLES, SRC:BEA, BIL
  • CS2 - PERSONAL CONSUMPTION EXPEND - SERVICES
  • CSF2 - PERSONAL CONSUMPTION EXPEND(FIXED)-SERVICES, SRC:BEA, BILLIO
  • NCONS - Nominal Consumption
  • CPI - Consumption Deflator
  • year - Year
  • Q2 - Month, Quarter, Annual
  • gdiv - NAT'L INCOME: DIVIDENDS
  • YEAR - Year
  • Q2 - Month, Quarter, or Annual
  • GPOP - POPULATION: TOTAL,INC.ARMED FORCES OVERSEAS,QTRLY AVG(MILLIO
  • YEAR - Year
  • Q2 - Month, Quarter, or Annual
  • GPOP - POPULATION: TOTAL,INC.ARMED FORCES OVERSEAS,QTRLY AVG(MILLIO
  • YEAR - Year
  • Q2 - MOnth, Quarter, or Annual
  • FYGL - INTEREST RATE: U.S.TREASURY COMPOSITE,10 YR+(LONG-TERM)(% PE
  • FYGN3 - INTEREST RATE: U.S.TREASURY BILLS,AUCTION AVG,3-MO.(% PER AN
  • GMCNQ - PERSONAL CONSUMPTION EXPENDITURE: NONDURABLES(BILL.1987$)
  • GMCSQ - PERSONAL CONSUMPTION EXPENDITURE:PCE SERVICES(BILL.1987$)
  • IP - INDUSTRIAL PRODUCTION: TOTAL INDEX (1987=100,SA)
  • MONTH
  • YEAR
  • YEAR - Year
  • Q2 - Month, Quarter, or Annual
  • GPOP - POPULATION: TOTAL,INC.ARMED FORCES OVERSEAS,QTRLY AVG(MILLIO
  • YEAR - Year
  • Q2 - Month, Quarter or Annual
  • PUNEW - CPI-U: ALL ITEMS (82-84=100,SA)
  • CALDT
  • VWRET
  • VWRETX
  • DATE - Date
  • VWRET
  • VWRETX
  • YEAR - Year
  • Q2 - Month, Quarter, or Annual
  • FYGL - INTEREST RATE: U.S.TREASURY COMPOSITE,10 YR+(LONG-TERM)(% PE
  • FYGN3 - INTEREST RATE: U.S.TREASURY BILLS,AUCTION AVG,3-MO.(% PER AN
  • PUNEW - CPI-U: ALL ITEMS (82-84=100,SA)
  • DATE - Year
  • SPIND - January S&P Index (nominal)
  • DIV - nominal dividend, total for year
  • CP - January Producer Price Index (annual average before 1900)
  • PPI - nominal commercial paper rate
  • CLEAR - January ppi Index (nominal, 1982 base)
  • T - Calendar variable in format yyyy
  • PT - S and P 500 Price Index. End of December price with 100 level in 1870
  • DT - Dividend Income derived from CRSP S&P 500 stocks total return and capital appreciation
  • RT - S and P 500 total net return, R(t)=[P(t)+D(t)/P(t-1)]-1
  • T - Calendar variable in format yyyy
  • IRT - Interest rate: 6-month commercial paper bought in January and rolled over in July.
  • CPIT - Producer Price Index: (100 level = 1990)
  • RGDPT - Missing
  • DEFT - Consumption Deflator in GS
  • CONST - Nominal per capita Consumption of Nondurables and Service

Variables

DATE

f104518 Location:

Variable Format: numeric

Notes: UNF:3:FVPxyJpQA6CKUYIO3n1NdQ==

GB

f104518 Location:

Variable Format: numeric

Notes: UNF:3:74LsAd6zH69AF/z5nFhicA==

CB

f104518 Location:

Variable Format: numeric

Notes: UNF:3:BiAL7p7Ru3PlcljyVI+pNg==

TB

f104518 Location:

Variable Format: numeric

Notes: UNF:3:9dZROM3i0NQkHXfd7Sly9w==

CPINSA

f104518 Location:

Variable Format: numeric

Notes: UNF:3:gshskx9Jd+vAC8lZQwajzw==

V1

f104491 Location:

Variable Format: numeric

Notes: UNF:3:FVPxyJpQA6CKUYIO3n1NdQ==

VWR

f104491 Location:

Variable Format: numeric

Notes: UNF:3:nELNL5+bxpxjyWVNYHSeBg==

VWRX

f104491 Location:

Variable Format: numeric

Notes: UNF:3:cuomv15JMztSsPeTRDxhCQ==

Year

f104499 Location:

Variable Format: numeric

Notes: UNF:3:GTrEbWDtVcnYLs+f85x+Ww==

Month, Quarter, or Annual

f104499 Location:

Variable Format: numeric

Notes: UNF:3:W4/VCFr63kRUfBzqlTJdNw==

PERSONAL CONSUMPTION EXPENDITURES:NONDUR.GOODS(BIL.1987$)(T.

f104499 Location:

Variable Format: numeric

Notes: UNF:3:gHIWQiLtg8K4qT9pfT/Jvg==

PERSONAL CONSUMPTION EXPENDITURES:SERVICES(BIL.1987$)(T.1.2)

f104499 Location:

Variable Format: numeric

Notes: UNF:3:st8nI2+8xf6nGWL3N+Ej5w==

YEAR

f104508 Location:

Variable Format: numeric

Notes: UNF:3:NjV1/sDqxL6GK9EiW949ZA==

MONTH, QUARTER, OR ANNUAL

f104508 Location:

Variable Format: numeric

Notes: UNF:3:HnCYibLh1TZmlAdJ5Ev/7A==

PERSONAL CONSUMPTION EXPEND - NONDURABLES

f104508 Location:

Variable Format: numeric

Notes: UNF:3:1Oo3xxIbjZRQ7A3F9t2usQ==

PERSONAL CONSUMPTION EXPEND(FIXED)-NONDURABLES, SRC:BEA, BIL

f104508 Location:

Variable Format: numeric

Notes: UNF:3:oAiZtUu//Sc8XNVu0AMDow==

PERSONAL CONSUMPTION EXPEND - SERVICES

f104508 Location:

Variable Format: numeric

Notes: UNF:3:ca6/yjqpTddVG0WYknZYjA==

PERSONAL CONSUMPTION EXPEND(FIXED)-SERVICES, SRC:BEA, BILLIO

f104508 Location:

Variable Format: numeric

Notes: UNF:3:k1yPe88TqEIyV4O3PNByew==

Nominal Consumption

f104498 Location:

Variable Format: numeric

Notes: UNF:3:ro9Id0rkcIEOTDJfcw12IQ==

Consumption Deflator

f104498 Location:

Variable Format: numeric

Notes: UNF:3:uBsBHOmNruYc5N5iM2kbkg==

Year

f104511 Location:

Variable Format: numeric

Notes: UNF:3:NjV1/sDqxL6GK9EiW949ZA==

Month, Quarter, Annual

f104511 Location:

Variable Format: numeric

Notes: UNF:3:HnCYibLh1TZmlAdJ5Ev/7A==

NAT'L INCOME: DIVIDENDS

f104511 Location:

Variable Format: numeric

Notes: UNF:3:RfTugwhgDfHFxNB6ppvynw==

Year

f104505 Location:

Variable Format: numeric

Notes: UNF:3:KR4CjsGYKeI1LM2a6HlDZQ==

Month, Quarter, or Annual

f104505 Location:

Variable Format: numeric

Notes: UNF:3:2TdBlIkOR/RR24cz9nkHxw==

POPULATION: TOTAL,INC.ARMED FORCES OVERSEAS,QTRLY AVG(MILLIO

f104505 Location:

Variable Format: numeric

Notes: UNF:3:q5kjJzjL1cswX8khwbk3NA==

Year

f104504 Location:

Variable Format: numeric

Notes: UNF:3:rhboX9Pysvv/AjuALcFIGA==

Month, Quarter, or Annual

f104504 Location:

Variable Format: numeric

Notes: UNF:3:IgM7vuuhqBEkDwGdsKPPMg==

POPULATION: TOTAL,INC.ARMED FORCES OVERSEAS,QTRLY AVG(MILLIO

f104504 Location:

Variable Format: numeric

Notes: UNF:3:vomsyopMnzAWhFshAZN8hQ==

Year

f104502 Location:

Variable Format: numeric

Notes: UNF:3:J2aPLz0oXrlex5btPl58hA==

MOnth, Quarter, or Annual

f104502 Location:

Variable Format: numeric

Notes: UNF:3:XUH0Y3J2EzoLKP1RoDYewQ==

INTEREST RATE: U.S.TREASURY COMPOSITE,10 YR+(LONG-TERM)(% PE

f104502 Location:

Variable Format: numeric

Notes: UNF:3:W4ToUym1lqjBq4K6L7S27Q==

INTEREST RATE: U.S.TREASURY BILLS,AUCTION AVG,3-MO.(% PER AN

f104502 Location:

Variable Format: numeric

Notes: UNF:3:8UY/ylMVy4msWgaiISoiNw==

PERSONAL CONSUMPTION EXPENDITURE: NONDURABLES(BILL.1987$)

f104502 Location:

Variable Format: numeric

Notes: UNF:3:lYP7dKaiHYUJPexPmQF5lg==

PERSONAL CONSUMPTION EXPENDITURE:PCE SERVICES(BILL.1987$)

f104502 Location:

Variable Format: numeric

Notes: UNF:3:ZePv5uDBJrf601DxWQyWpw==

INDUSTRIAL PRODUCTION: TOTAL INDEX (1987=100,SA)

f104502 Location:

Variable Format: numeric

Notes: UNF:3:yadyIH/3JdrugAmVoKkLyQ==

MONTH

f104512 Location:

Variable Format: character

Notes: UNF:3:StkdPTRZ261cVs8SX8Ctcw==

YEAR

f104512 Location:

Variable Format: character

Notes: UNF:3:VC/JEEe8epX5GD41NjnpSA==

Year

f104507 Location:

Variable Format: numeric

Notes: UNF:3:rhboX9Pysvv/AjuALcFIGA==

Month, Quarter, or Annual

f104507 Location:

Variable Format: numeric

Notes: UNF:3:IgM7vuuhqBEkDwGdsKPPMg==

POPULATION: TOTAL,INC.ARMED FORCES OVERSEAS,QTRLY AVG(MILLIO

f104507 Location:

Variable Format: numeric

Notes: UNF:3:vomsyopMnzAWhFshAZN8hQ==

Year

f104532 Location:

Variable Format: numeric

Notes: UNF:3:9StvfMJhqkJ6hsqpBkMTMA==

Month, Quarter or Annual

f104532 Location:

Variable Format: numeric

Notes: UNF:3:paA2gv/cSdwmreHEqNUA5A==

CPI-U: ALL ITEMS (82-84=100,SA)

f104532 Location:

Variable Format: numeric

Notes: UNF:3:byW/QPHSBHnTMzl7hvYHyA==

CALDT

f104531 Location:

Variable Format: numeric

Notes: UNF:3:UWwJMTUqxPK6R+kqiyV30Q==

VWRET

f104531 Location:

Variable Format: numeric

Notes: UNF:3:wwgfRcI89Y3rLFG2ErjqkA==

VWRETX

f104531 Location:

Variable Format: numeric

Notes: UNF:3:cTlvQ4h90Vw2E9/suesjlg==

Date

f104517 Location:

Variable Format: numeric

Notes: UNF:3:s1q0xXXhZVItJXSgy+vh1g==

VWRET

f104517 Location:

Variable Format: numeric

Notes: UNF:3:J4rlpUfTsdiw7mn6qOsKIg==

VWRETX

f104517 Location:

Variable Format: numeric

Notes: UNF:3:eChTu7ltAfn8k8fO0yQxjA==

Year

f104500 Location:

Variable Format: numeric

Notes: UNF:3:0xrAlbrI4aOnxY6Vrj7cPw==

Month, Quarter, or Annual

f104500 Location:

Variable Format: numeric

Notes: UNF:3:FOPgOSqjFPME7DrCc1owfA==

INTEREST RATE: U.S.TREASURY COMPOSITE,10 YR+(LONG-TERM)(% PE

f104500 Location:

Variable Format: numeric

Notes: UNF:3:eNVrATjpG7/w68lOd8tuPg==

INTEREST RATE: U.S.TREASURY BILLS,AUCTION AVG,3-MO.(% PER AN

f104500 Location:

Variable Format: numeric

Notes: UNF:3:lGHijkBm/SozcqPaoxQoRA==

CPI-U: ALL ITEMS (82-84=100,SA)

f104500 Location:

Variable Format: numeric

Notes: UNF:3:JZVcNV1Cc9x+vjuDSE2XKg==

Year

f104530 Location:

Variable Format: numeric

Notes: UNF:3:ecufmp+DEe0yJKgY0nxiYw==

January S&P Index (nominal)

f104530 Location:

Variable Format: numeric

Notes: UNF:3:A1wNzM0jkAOJjij7U+EOdA==

nominal dividend, total for year

f104530 Location:

Variable Format: numeric

Notes: UNF:3:xJ35pqmId/A6k5L2hnIeZg==

January Producer Price Index (annual average before 1900)

f104530 Location:

Variable Format: numeric

Notes: UNF:3:boB9B1dVVKjbEAVslqd8iw==

nominal commercial paper rate

f104530 Location:

Variable Format: numeric

Notes: UNF:3:DUyphjFWAIDZggkmFEWj/A==

January ppi Index (nominal, 1982 base)

f104530 Location:

Variable Format: numeric

Notes: UNF:3:A42K5aqgFSqoD4MCLTzhpw==

Calendar variable in format yyyy

f104506 Location:

Variable Format: numeric

Notes: UNF:3:W5WcdKi7TYxYiDfHqyGeGQ==

S and P 500 Price Index. End of December price with 100 level in 1870

f104506 Location:

Variable Format: numeric

Notes: UNF:3:dfRqr8GrLzYD15AVS3gvOw==

Dividend Income derived from CRSP S&P 500 stocks total return and capital appreciation

f104506 Location:

Variable Format: numeric

Notes: UNF:3:GqmkaS+GE4iAF1CreOPbcw==

S and P 500 total net return, R(t)=[P(t)+D(t)/P(t-1)]-1

f104506 Location:

Variable Format: numeric

Notes: UNF:3:yTtwbJu9qkDsivVfDXxmjA==

Calendar variable in format yyyy

f104525 Location:

Variable Format: numeric

Notes: UNF:3:hx0N+jryXxSvZ2Vvu6DRbQ==

Interest rate: 6-month commercial paper bought in January and rolled over in July.

f104525 Location:

Variable Format: numeric

Notes: UNF:3:Onh91u0qvgZtq2h+jx0bcg==

Producer Price Index: (100 level = 1990)

f104525 Location:

Variable Format: numeric

Notes: UNF:3:sfS+vdoXZ+0ARN9/ySQrQw==

Missing

f104525 Location:

Variable Format: numeric

Notes: UNF:3:M3VWQtWqiOmIaNidcmNhhw==

Consumption Deflator in GS

f104525 Location:

Variable Format: numeric

Notes: UNF:3:CkStUG7LXBGTU5/KSkcNaw==

Nominal per capita Consumption of Nondurables and Service

f104525 Location:

Variable Format: numeric

Notes: UNF:3:gWHjD2NGLlx+loPvr2lhhg==

Other Study-Related Materials

Label:

ASBBI.DAT

Text:

Annual sbbi data from 1926-95, ASCII raw numbers and program file

Notes:

text/plain; charset=US-ASCII

Other Study-Related Materials

Label:

ASIA.DAT

Text:

Annual crsp data downloaded 8/3/94, ASCII raw numbers and program file

Notes:

text/plain; charset=US-ASCII

Other Study-Related Materials

Label:

campbellcochrane_jpe1999.pdf

Text:

Original Article based on this study

Notes:

application/pdf

Other Study-Related Materials

Label:

CNS.DAT

Text:

Personal Consumption Expenditures Data File, ASCII raw numbers and program file

Notes:

text/plain; charset=US-ASCII

Other Study-Related Materials

Label:

CNS2.DAT

Text:

Personal Consumption Expend, ASCII raw numbers and program file

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text/plain; charset=US-ASCII

Other Study-Related Materials

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CONSUME.DAT

Text:

This file contains aggregate nominal per capita consumption of nondurables and services and the corresponding consumption deflator, annually 1889-1992. The deflator is 1 in 1987, so it converts to 1987 dollars. The series are updated versions of the ones used in Grossman and Shiller (1981), Campbell and Shiller (RFS 1988), and elsewhere in the equity premium literature. ASCII raw numbers and program file

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text/plain; charset=US-ASCII

Other Study-Related Materials

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GDIV.DAT

Text:

National Income Dividends, ASCII raw numbers and program file

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text/plain; charset=US-ASCII

Other Study-Related Materials

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GDIV.DOC

Text:

National Income Dividends, documentation file

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text/plain; charset=US-ASCII

Other Study-Related Materials

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GPOP.DAT

Text:

Population: Total Income Armed Forces Data File, ASCII raw numbers and program file

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text/plain; charset=US-ASCII

Other Study-Related Materials

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GPOP1.DAT

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Population: Total income armed forces overseas, ASCII raw numbers and program file

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text/plain; charset=US-ASCII

Other Study-Related Materials

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GPOP1.DOC

Text:

Population: Total income armed forces overseas, documentation file

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text/plain; charset=US-ASCII

Other Study-Related Materials

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HabitsData.ZIP

Text:

Data files, zipped format

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application/zip

Other Study-Related Materials

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John Y. Campbell-Data PASS Deposit Agreement.pdf

Text:

Legal agreement between the data depositor and the Murray Archive

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application/pdf

Other Study-Related Materials

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MDAT.DAT

Text:

Interest Rate, Personal Consumption Expenditures, and Industrial Production Data File, ASCII raw numbers and program file

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text/plain; charset=US-ASCII

Other Study-Related Materials

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MNBERDAT.DAT

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Monthly nber dates 1947-93, ASCII raw numbers and program file

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text/plain; charset=US-ASCII

Other Study-Related Materials

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MSIA.DAT

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crsp value weighted return and price appreciation, monthly data, ASCII raw numbers and program file

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text/plain; charset=US-ASCII

Other Study-Related Materials

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PUNEW.DAT

Text:

All Items (82-84=100,SA), ASCII raw numbers and program file

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text/plain; charset=US-ASCII

Other Study-Related Materials

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PUNEW.DOC

Text:

All Items (82-84=100,SA), Documentation file

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text/plain; charset=US-ASCII

Other Study-Related Materials

Label:

QSBBI.DAT

Text:

Quarterly sbbi data, ASCII raw numbers and program file

Notes:

text/plain; charset=US-ASCII

Other Study-Related Materials

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QSIA.DAT

Text:

Data file, ASCII raw numbers and program file

Notes:

text/plain; charset=US-ASCII

Other Study-Related Materials

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RATECPI.DAT

Text:

Interest rate and CPI-U data, ASCII raw numbers and program file

Notes:

text/plain; charset=US-ASCII

Other Study-Related Materials

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READMEUS.TXT

Text:

Detailed information on the files in this study

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text/plain; charset=US-ASCII

Other Study-Related Materials

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SPV90.DAT

Text:

Sangjoon Kim updates of SPV.ASC to 1990, ASCII raw numbers and program file

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text/plain; charset=US-ASCII

Other Study-Related Materials

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USAYE.DAT

Text:

This file contains annual data on Equity Markets for the US. It contains data on the S&P 500 Price Index and Dividends. This data is an updated version of that used in Grossman and Shiller (1981) and elsewhere in the equity premium literature. The updating is based on CRSP Indices Files on the S&P 500 Universe. ASCII raw numbers and program file

Notes:

text/plain; charset=US-ASCII

Other Study-Related Materials

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USAYM.DAT

Text:

This file contains annual data on several macroeconomic variables for the US. This data is extracted from the Ibbotson Stocks, Bonds, Bills and Inflation CRSP Indices Files and Citibase. The early part of the sample is taken from the USAYE file. ASCII raw numbers and program file

Notes:

text/plain; charset=US-ASCII