1/24/89 DOCUMENTATION FOR MRSWORK3.DAT by George Tauchen, Duke University The file mrswork3.dat contains monthly data on real stock returns, real t-bill returns, and the FRB Index of Industrial Production as described below. The file was created from MRSWORK2.DAT by the SAS program IPADJ01.SAS. I. Variable / Short Description ____________________________ Col. 1 - Date in yyyymm format Col. 2 - Real one-month net return on the CRSP Value Weighted New York Stock Index, with the CPI-U used to convert to nominal returns to real returns. Col. 3 - Real one-month net return on one-month t-bills, with the CPI-U used to convert nominal returns to real returns. Col. 4 - First difference of the logarithm of the FRB Index of Industrial Production, seasonally adjusted using monthly seasonals and trending seasonals (see below). Col. 5 - First difference of the logarithm of the FRB Index of Industrial Production, not seasonally adjusted. II. Details _______ Col 2: The real value weighted net return on the NYSE is computed as (1 + vw_t)(cpi_t-1/cpi_t) - 1 where vw_t is the net nominal value weighted return from the end of month t-1 to the end of month t, and cpi_t is the consumer price index in month t. Col 3: The real one-month net return on one-month t-bills is computed as (1 + tb_t)(cpi_t-1/cpi_t) - 1 where tb_t is the Ibbottson and Sinquefeld series on net nominal return on one-month tbills and cpi_t is the consumer price index in month t. Col 4: Let y_t = log(ip_t)-log(ip_t-1), where ip_t is the seasonally unadjusted FRB Index of Industrial Production in month t. Then Col. 4 is the residual from a regression of y_t on twelve seasonal dummies and the interactions of these dummies with a linear time trend. The interactions capture slow moving components to the seasonals. III. Sources _______ Nominal Value Weighted Returns on the New York Stock Exchange Obtained from: Center for Research in Security Prices, University of Chicago, Chicago, Illinois. Nominal One-Month Returns on One-Month T-Bills This is the Ibbotson and Sinquefeld series obtained from: Center for Research in Security Prices, University of Chicago, Chicago, Illinois. Consumer Price Index - All Urban Consumers (CPI-U; 1967=100) 1925/12 - 1986/11: Computer printout supplied by U.S. Department of Labor, Bureau of Labor Statistics, Washington D.C., 20212. 1986/12 - 1987/12: U.S. Department of Commerce, Bureau of Economic Analysis, Survey of Current Business, January 1988, Vol. 68, No. 1, p. S-5. FRB Index of Industrial Production, seasonally unadjusted (1977=100) Data for 1987 were taken from issues of U.S. Department of Commerce, Bureau of Economic Analysis, Survey of Current Business, as shown below: 7/1987 - 12/1987, September, 1988, Vol. 68, No. 9, p. S-1, 1/1987 - 7/1987, January, 1988, Vol. 68, No. 1,p. S-1. Data for 1947-1986 were taken from editions of U.S. Department of Commerce, Bureau of Economic Analysis, Business Statistics, as shown below: 1/1983 - 12/1986, 1986 Edition, p. 3, 1/1981 - 12/1982, 1984 Edition, p. 3, 1/1961 - 12/1980, 1984 Edition, p. 151, 1/1947 - 12/1960, 1977 Edition, p. 209. Data for 1925-1946 were taken from Board of Governors of the Federal Reserve, Industrial Production: 1959 Revision, p. S-121. Washington D.C.: Board of Governors of the Federal Reserve, 1960. Data were converted to base year=1977 by multiplying data for the years 1947-1960 by 0.718 and multiplying data for the years 1925-1959 by 0.718x0.604. ------------------------------------------------------------------------------- Description from: Gallant, A. Ronald, Lars Peter Hansen, and George E. Tauchen (1990), "Using Conditional Moments of Asset Payoffs to Infer the Volatility of Intertemporal Marginal Rates of Substitution," Journal of Econometrics, forthcoming, Appendix We first describe the construction of the variables in the data set and then give the detailed sources. Stock Return: This is the real value weighted return on the NYSE computed as gross: (1 + vw_t)(cpi_t-1/cpi_t) net: (1 + vw_t)(cpi_t-1/cpi_t) - 1 where vw_t is the net nominal value weighted return from the end of month t-1 to the end of month t, and cpi_t is the consumer price index in month t. T-bill Return: This is the real one-month return on a one-month T-bill computed as gross: (1 + tb_t)(cpi_t-1/cpi_t) net: (1 + tb_t)(cpi_t-1/cpi_t) - 1 where tb_t is the net nominal return on a one-month T-bill and cpi_t is the consumer price index in month t. Sources Both the nominal stock and T-bill returns were obtained from the Center for Research in Security Prices (CRSP), University of Chicago,Chicago, Illinois. The nominal stock return is the CRSP Value Weighted Index for the New York Stock Exchange. The nominal T-bill return is Ibbottson and Sinquefeld series on the one-month return on one-month Treasury Bills. The price index is the Consumer Price Index - All Urban Consumers (CPI-U; 1967=100). The specific sources are as follows: 1986:12-1987:12 ρρ U.S. Department of Commerce, Bureau of Economic Analysis, Survey of Current Business, January 1988, Vol. 68, No. 1, p. S-5. 1925:12-1986:11 ρρ Computer printout supplied by U.S. Department of Labor, Bureau of Labor Statistics, Washington D.C., 20212.