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