Malin Gardberg and Lorenzo Pozzi, "Aggregate Consumption and Wealth in
the Long Run: The Impact of Financial Liberalization", Journal of
Applied Econometrics, Vol. 37, No. 1, 2022, pp. 161-186.

The data used in the analysis of the paper are available in the files
data_quarterly.txt and data_annual.txt. Both data files are text files
in DOS format. They are zipped in the file cw-data.zip. Unix/Linux
users should use "unzip -a".

The file data_quarterly.txt contains the quarterly data used in the
analysis. It contains 263 rows and 18 columns. The first row contains
the variable names, and the remaining 262 rows are quarterly data from
1951Q3 to 2016Q4. However, the paper is based on a sample from 1951Q4
to 2016Q4. 

The dataset includes the following variables:

c	     Consumption, log real per capita personal consumption
             expenditures (pce), deflated with the pce price index.
	     
y	     Disposable labor income, log real per capita personal net
             labor income, deflated with the pce price index.
	     
a	     Asset wealth, net worth of households and nonprofit
             organizations, deflated with the pce price index.
	     
cea	     cea index, credit easing accumulated by Carroll et al. (2019).

hhdebt	     Household debt to personal disposable income ratio.

trend	     Linear time trend.

abiad	     Abiad et al.'s (2008) index of financial reform. 

ciccarelli   Ciccarelli et al.'s (2015) lending standard shock.

gambetti     Gambetti and Musso's (2017) loan supply shocks.

unrisk	     Unemployment risk, calculated as in Carroll et al. (2019). 

old	     Old-age dependency ratio.

re	     Equity return data, deflated with the pce price index.

rb	     Government bond return data, deflated with the pce price index.

c_nds	     Consumption, log real per capita nondurable goods and service
             consumption (nds), deflated with the nds price index.

Quarterly seasonally adjusted data for consumption, disposable labor
income, population, and the price deflators were collected from the
National Income and Product Accounts (NIPA) from the Bureau of
Economic Analysis (BEA). Asset (financial wealth) data were collected
from the Flow of Funds Accounts of the Board of Governors of the
Federal Reserve System.

Household debt and the old-age dependency ratio are taken from the
FRED database (Federal Reserve Bank of St. Louis). Equity and bond
return indices are from the Center for Research in Security Prices
(CRSP), while the different financial liberalization and credit shock
measures are provided by the respective authors of, or computed as in,
the cited papers. 

A detailed description of the data is available in Section 3.2 in the
paper, and in the Online Appendix, Appendix B.

The file data_annual.txt contains the annual data serie used for the
analysis on housing returns, real total housing returns (arh). The
file contains 51 rows and 2 columns, where the first row contains the
variable names. Nominal housing returns were downloaded from Jorda et
al. (2019), and the series were deflated with the pce price index from
the NIPA tables. 

Malin Gardberg (malin.gardberg [AT] ifn.se)
Lorenzo Pozzi (pozzi [AT] ese.eur.nl)
7 July 2021


References

Abiad, A., Detragiache, E., and Tressel, T. (2008). A new database of
financial reforms. Working paper 266, International Monetary Fund.

Carroll, C. D., Slacalek, J., and Sommer, M. (2019). Dissecting saving
dynamics: Measuring wealth, precautionary, and credit effects. NBER
Working Paper 26131.

Ciccarelli, M., Maddaloni, A., and Peydro, J. (2015). Trusting the
bankers: A new look at the credit channel of monetary policy. Review
of Economic Dynamics, 18:979-1002.

Gambetti, L. and Musso, A. (2017). Loan supply shocks and the business
cycle. Journal of Applied Econometrics, 32:764-782.

Jorda, O., Knoll, K., Kuvshinov, D., Schularick, M., and Taylor, A.
(2019). The rate of return on everything, 1870-2015. Quarterly Journal
of Economics, 134(3):1225-1298.