CAY Data: Consumption, Asset Wealth and Labor Income
Current estimate of the transitory component of
financial wealth*: [download
pdf]
Updated
Data: [1951Q2-2010Q2]
(Note: cointegration vector has changed due to data
revisions, see below)
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]
Annual Data:
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.
Notes:
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
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.