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Data_Sources.txt
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#-------------------------------------------------------------------------#
#--------------- General information -------#
#-------------------------------------------------------------------------#
'GW_Data.csv' corresponds to the data set with the predictors in Goyal and Welch (2008) only.
'GWP_Data.csv' also includes the predictor proposed by Pyun (2019).
'MacroData_INDPRO_prepared.csv' corresponds to the prepared macroeconomic data set.
#-------------------------------------------------------------------------#
#--------------- Data sources for predicting the US equity premium -------#
#-------------------------------------------------------------------------#
The data by Welch and Goyal (2008) can be found here:
https://sites.google.com/view/agoyal145
We consider twelve features:
book-to-market ratio (bmr)
default return spread (dfr)
default yield spread (dfy)
dividend payout ratio (dpayr)
dividend yield (dy)
earnings-price-ratio (ep)
inflation (inf)
return on long-term government (ltr)
long-term government bond yield (lty)
net equity expansion (ntis)
stock variance (svar)
treasury bill rate (tbl)
The forecasts by Pyun (2019), abbreviated as vrp, can be found here:
https://sjpyun.github.io/research.html
#---------------------------------------------------------------------------#
#- Data sources for predicting the growth rate of US industrial production -#
#---------------------------------------------------------------------------#
The data by McCracken and Ng (2016) and the Matlab code for pre-processing the data can be found here:
https://research.stlouisfed.org/econ/mccracken/fred-databases/