Stock Market and Capital Accumulation Data Appendix


This data appendix describes the data sources and calculations. It also contains links to the actual data files.  Click here for a pdf version.




This spreadsheet contains all of the final calculations and links to the data sources.  


Matlab Programs:


Coupon payments on bonds: Bonds_bis.m -

Coupon payments on tax-exempt bonds: Bonds_ex.m

Interest paid on commercial paper: Comm.m

Interest earned on liquid assets: Liquid.m

Interest earned on consumer credit: Conscr.m

Interest paid on bank loans: Loans.m

Interest paid on mortgages owed: Mort.m

Interest earned on mortgages held: Morta.m

Interest earned on tax-exempt securities held: Muni.m

Return on net foreign investment: Foreign.m

Return on mutual funds held: Mutualf.m


Data Used in Matlab Programs:


Stocks (data downloadable from Federal Reserve BOG site here):

liqasset: liquid assets held (FF code 104001005)

change: net issuance of corporate bonds (FF code 103163003)

mortgages: mortgages owned (FF code 103165003)

Taxchange: net issuance of tax-exempt corp. bonds (FF code 103162005)

Mortgagesa: mortgages held (FF code 103065003)

Openmc: issues of commercial paper (FF code 103169700)

Munia: tax-exempt securities held (FF code 103062003)

Conscreda: consumer credit outstanding (FF code 103066005)

Forasset: net foreign assets (constructed in miscellaneous.xls)

Finequity: holdings of equity in financial corporations (constructed in miscellaneous.xls)

Mutualf: mutual fund holdings (FF code 103064203)

Mutualf2: idem in levels

Loans: bank loans owned (FF code 103168005 and FF code 103169255)


Interest Rates (data downloadable from Federal Reserve BOG site here):

Aab10:  monthly corporate bond yields BAA on 10 year benchmark (starts in April 53)

Baa:  monthly corporate bond yields BAA  Long Term Composite  (starts in Jan 19)

Hcp3m: monthly rates on 3-month commercial paper (starts in April 71 )

Prime: monthly rate for bank loans (start in Jan 49)

Spreturn: monthly returns on S&P500  constructed in shiller2.xls

Tbsm3m: 3-month T-Bill  (starts in Jan 34)

Termscr: monthly rates ‘terms of consumer credit’ (published by Federal reserve)

Taxex: monthly tax-exempt yields BAA on 10 year benchmark (starts in April 53) constructed in interest rates2.xls

Cm: conventional mortgage rates (starts in April 71)


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