Data & Appendixes 

  • UNCERTAINTY DATA: Updated macro, real, financial uncertainty indexes 1960:07-2019:06 click HERE. Data appendix HERE. (Updated versions of data used in papers "Measuring Uncertainty" and "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?"). Vintages HERE.

  • CAY DATA: regularly updated cay, including a new Markov-switching cay measure, click HERE.  

  • Macro Factors in Bond Risk Premia data: Updated Ludvigson-Ng macro factors 1960:03-2019:06 click HERE. (8 factors plus cubic in the first factor formed from large macro dataset described in the appendix of "Uncertainty and Business Cycles...".) For data (estimated factors and return data), used in 2009 RFS paper with Serena Ng, click HERE. Technical Appendix.

  • Uncertainty data data used in "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?" 1960:07-2015:04 click HERE. Data Appendix HERE.

  • Uncertainty data data and large dataset used in "Measuring Uncertainty" 1960:07-2011:12 click HERE

  • Factor Analysis Data: For large data set 1964:1-2007:12 used to construct factors and programs files used in Handbook of Empirical Economics and Finance article, "A Factor Analysis of Bond Risk Premia" with Serena Ng, click HERE.

  • Appendix to "Capital Share Risk in U.S. Asset Pricing." (PDF file). 

  • Appendix to "Shocks and Crashes." (PDF file).

  • Appendix to "Investor Information, Long-run Risk, and the Term Structure of Equity." (PDF file).

  • Appendix to "An Estimation of Economic Models of Recursive Preferences." (PDF file).

  • Appendix to "Elasticities of Substitution in Real Business Cycle Models with Home Production." (PDF file). 

  • Appendix to "Monetary Policy Transmission Through the Consumption-Wealth Channel." (PDF file).

  • Appendix to "Expected Returns and Expected Dividend Growth." (PDF file).

  • Appendix to "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?" (PDF file). 


  • The elasticities reported in Table 2 of "The Macroeconomic Effects of Government Debt in a Stochastic Growth Model" are elasticities with respect to log government debt at time t+1, rather than elasticities with respect to the innovation to log debt, as stated in the text. Thus, Table 2 traces out the effects of a persistent increase in debt (the innovation plus all the subsequent changes in debt) rather than the effects of just the one-time innovation.

  • JPE paper "Resurrecting the CCAPM" has typographical errors in some tables. Click here for tables with the correct numbers.

  • NBER Macro Annual paper "Shocks and Crashes" has typographical error in Table 2. The coefficient on lagged labor income growth in the consumption growth equation should be 0.06, not 2.00.