Data description United States Table A 1
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1 Data description United States Table A 1 Variables Frequency Time span Interest rates and spreads Federal funds rate Quarterly month T-bill rate Quarterly month money market rate Quarterly month commercial paper rate Quarterly year government bond yield Quarterly Corporate bond yield (avg: AAA,AA,A and BAA) Quarterly Corporate AAA bond yield Quarterly Corporate BAA bond yield Quarterly Real long-term interest rate (10-year government bond yield) Quarterly Real short-term interest rate (3-month money market rate) Quarterly month cp rate-3-month money market rate spread Quarterly month cp rate-3-month T-bill rate spread Quarterly Corporate bond yield-10-year government bond yield spread Quarterly year government bond yield-3-month T-bill rate spread Quarterly Corporate AAA-BAA bond yield spread Quarterly Equity markets NYSE Stock Market Capitalization Quarterly S&P 500 Total Return Index Quarterly S&P 500 P/E Ratio (As Reported Earnings) Quarterly S&P 500 Monthly Dividend Yield Quarterly S&P 500 Finance Total Return Index Quarterly S&P Finance Index P/E Ratio Quarterly S&P Finance Dividend Yield Quarterly S&P GSCI Total Return Index Quarterly S&P GSCI Precious Metals Index Quarterly Real estate Nominal residential property prices growth Quarterly Real residential property prices growth Quarterly Nominal commercial property prices growth Quarterly Real commercial property prices growth Quarterly Banks and Flow of Funds data Banks capital and reserves/banks total assets Annual Banks provisions on loans/banks loans to non-banks Annual Banks net interest income/ banks total assets Annual Banks return on equity Annual Banks return on assets Annual Banks credit to non-banks/nominal GDP Quarterly Nominal banks credit to non-banks growth Quarterly Real banks credit to non-banks growth Quarterly Banks loans to non-banks/nominal GDP Quarterly Nominal banks loans to non-banks growth Quarterly Real banks loans to non-banks growth Quarterly Total household consumer credit/nominal GDP Quarterly Total nominal household consumer credit growth Quarterly Total real household consumer credit growth Quarterly Banks consumer credit/ Banks credit to non-banks Quarterly Nominal Banks consumer credit growth Quarterly Real Banks consumer credit growth Quarterly Total Mortgage debt/nominal GDP Quarterly Total nominal mortgage debt growth Quarterly Total real mortgage debt growth Quarterly Banks holdings of mortgage debt/banks credit to non-banks Quarterly Nominal Banks holdings of mortgage debt growth Quarterly Real Banks holdings of mortgage debt growth Quarterly
2 Banks deposits/nominal GDP Quarterly Banks deposits/banks loans to non-banks Quarterly Banks deposits/broad money Quarterly Total debt/nominal GDP Quarterly Debt of financial sector/nominal GDP Quarterly Debt of non-financial sector/nominal GDP Quarterly Households debt/nominal GDP Quarterly Debt of non-financial corporations/nominal GDP Quarterly Government debt/ Debt of non-financial sector Quarterly Liabilities of financial sector/nominal GDP Quarterly Liabilities of non-financial sector/nominal GDP Quarterly Households Liabilities /nominal GDP Quarterly Liabilities of non-financial corporations/nominal GDP Quarterly Government liabilities/ liabilities of non-financial sector Quarterly Financial assets of financial sector/nominal GDP Quarterly Financial assets of non-financial sector/nominal GDP Quarterly Households Financial assets /nominal GDP Quarterly Financial assets of non-financial corporations/nominal GDP Quarterly Government assets/ assets of non-financial sector Bond issuance Net increase in liabilities (corporate bonds) of non-fin non-farm business Quarterly Net increase in liabilities (municipal securities) of non-fin non-farm business Quarterly Net increase in liabilities (commercial papers) of non-fin non-farm business Quarterly GAPS Equity S&P 500 Total Return Index Quarterly S&P 500 Finance Total Return Index Quarterly S&P GSCI Total Return Index Quarterly S&P GSCI Precious Metals Index Quarterly Property Real res. property prices gap Quarterly Banks and Flow of Funds Banks credit to non-banks/nominal GDP Quarterly Banks loans to non-banks/nominal GDP Quarterly Total household consumer credit/nominal GDP Quarterly Banks consumer credit/ Banks credit to non-banks Quarterly Total Mortgage debt/nominal GDP Quarterly Banks holdings of mortgage debt/banks credit to non-banks Quarterly Banks deposits/nominal GDP Quarterly Banks deposits/banks loans to non-banks Quarterly Banks deposits/broad money Quarterly Total debt/nominal GDP Quarterly Debt of financial sector/nominal GDP Quarterly Debt of non-financial sector/nominal GDP Quarterly Households debt/nominal GDP Quarterly Debt of non-financial corporations/nominal GDP Quarterly Government debt/ Debt of non-financial sector Quarterly Liabilities of financial sector/nominal GDP Quarterly Liabilities of non-financial sector/nominal GDP Quarterly Households Liabilities /nominal GDP Quarterly Liabilities of non-financial corporations/nominal GDP Quarterly Government liabilities/ liabilities of non-financial sector Quarterly Financial assets of financial sector/nominal GDP Quarterly Financial assets of non-financial sector/nominal GDP Quarterly Households Financial assets /nominal GDP Quarterly Financial assets of non-financial corporations/nominal GDP Quarterly Government assets/ assets of non-financial sector Quarterly Sources: Bloomberg; Datastream; Global Financial Database; OECD Profitability Tables; national data.
3 Data description United Kingdom Table A2 Variables Frequency Time span Interest rates and spreads Overnight interest rate Quarterly UK 3-month Sterling Time Deposit Rate Quarterly UK 3-month Treasury Bill Yield Quarterly UK Private Discount Rate (3-month CP) Quarterly year government bond yield Quarterly Great Britain Corporate Bond Yield Quarterly Real long-term interest rate (10-year government bond yield) Quarterly Real short-term interest rate (3-month money market rate) Quarterly month cp rate-3-month money market rate spread Quarterly month cp rate-3-month T-bill rate spread Quarterly Corporate bond yield-10-year government bond yield spread Quarterly year government bond yield-3-month T-bill rate spread Quarterly Equity markets London SE Capitalization (Value Traded USD) Quarterly UK FTSE ALL Share Total Return Index log Quarterly UK FTSE ALL Share Index log Quarterly UK FT-Actuaries Dividend Yield Quarterly UK FT-Actuaries PE Ratio Quarterly FTSE All-Share Financials log Quarterly Real estate Nominal residential property prices growth Quarterly Real residential property prices growth Quarterly Nominal commercial property prices growth Quarterly Real commercial property prices growth Quarterly Banks and Flow of Funds data Banks capital and reserves/banks; total assets Annual Banks net interest income/ banks total assets Annual Banks return on equity Annual Banks return on assets Annual Banks lending/nominal GDP Quarterly Nominal banks lending growth Quarterly Real banks lending growth Quarterly Personal sector s consumer credit/nominal GDP Quarterly Nominal Personal sector s consumer credit growth Quarterly Real Personal sector s consumer credit growth Quarterly Personal sector s bank credit/nominal GDP Quarterly Nominal Personal sector s bank credit growth Quarterly Real Personal sector s bank credit growth Quarterly Bank credit/bank lending Quarterly Consumer credit/bank lending Quarterly Banks deposits/nominal GDP Quarterly Banks deposits/bank credit Quarterly Banks deposits/broad money Quarterly Liabilities of financial sector/nominal GDP Quarterly Liabilities of non-financial sector/nominal GDP Quarterly Households Liabilities /nominal GDP Quarterly Government liabilities/ liabilities of non-financial sector Quarterly Financial assets of financial sector/nominal GDP Quarterly Financial assets of non-financial sector/nominal GDP Quarterly Households Financial assets /nominal GDP Quarterly Government assets/ assets of non-financial sector Quarterly Loans of financial sector/nominal GDP Quarterly Loans of non-financial sector/nominal GDP Quarterly Households Loans /nominal GDP Quarterly
4 Government Loans / Loans of non-financial sector Quarterly GAPS Equity UK FTSE ALL Share Total Return Index Quarterly UK FTSE ALL Share Index Quarterly FTSE All-Share Financials Quarterly Property Real res. property prices gap Quarterly Banks and Flow of Funds Banks lending/nominal GDP Quarterly Personal sector s consumer credit/nominal GDP Quarterly Personal sector s bank credit/nominal GDP Quarterly Bank credit/bank lending Quarterly Consumer credit/bank lending Quarterly Banks deposits/nominal GDP Quarterly Banks deposits/bank credit Quarterly Banks deposits/broad money Quarterly Liabilities of financial sector/nominal GDP Quarterly Liabilities of non-financial sector/nominal GDP Quarterly Households Liabilities /nominal GDP Quarterly Government liabilities/ liabilities of non-financial sector Quarterly Financial assets of financial sector/nominal GDP Quarterly Financial assets of non-financial sector/nominal GDP Quarterly Households Financial assets /nominal GDP Quarterly Government assets/ assets of non-financial sector Quarterly Loans of financial sector/nominal GDP Quarterly Loans of non-financial sector/nominal GDP Quarterly Households Loans /nominal GDP Quarterly Government Loans / Loans of non-financial sector Quarterly Sources: Bloomberg; Datastream; Global Financial Database; OECD Profitability Tables; national data.
5 Data description Germany Table A3 Variables Frequency Time span Interest rates and spreads Sight deposit rate Quarterly month Time Deposit Rate Quarterly month Treasury Bill Yield Quarterly year government bond yield Quarterly Corporate Bond Yield Quarterly Real long-term interest rate (10-year government bond yield) Quarterly Real short-term interest rate (3-month money market rate) Quarterly month sd rate-3-month money market rate spread Quarterly month sd rate-3-month T-bill rate spread Quarterly Corporate bond yield-10-year government bond yield spread Quarterly year government bond yield-3-month T-bill rate spread Quarterly Sight deposit rate Quarterly month Time Deposit Rate Quarterly month Treasury Bill Yield Quarterly year government bond yield Quarterly Equity markets Quarterly Germany Capitalization (Value Traded USD) Quarterly Germany Dividend Yield Quarterly Germany PE Ratio Quarterly Germany CDAX Total Return Index Quarterly Germany CDAX Banks Price Index Quarterly Germany CDAX Financial Services Price Index Quarterly Germany CDAX Composite Index (w/gfd extension) Quarterly Germany REX Government Bonds Performance Index Quarterly Real estate Nominal residential property prices growth Quarterly Real residential property prices growth Quarterly Nominal commercial property prices growth Quarterly Real commercial property prices growth Quarterly Banks and Flow of Funds data Banks capital and reserves/banks; total assets Annual Banks net interest income/ banks total assets Annual Banks Provisions on loans/ Banks Loans Annual Banks return on equity Annual Banks return on assets Annual Banks assets/nominal GDP Quarterly Consumer credit/credit to MFI Quarterly Housing loans/credit to non-mfi Quarterly Loans to HH/nominal GDP Quarterly Nominal Loans to HH growth Quarterly Real Loans to HH growth Quarterly Housing loans/nominal GDP Quarterly Nominal Housing loans growth Quarterly Real Housing loans growth Quarterly Consumer credit/nominal GDP Quarterly Nominal consumer credit growth Quarterly Real consumer credit growth Quarterly Credit to non-mfis/nominal GDP Quarterly Nominal Credit to non-mfis growth Quarterly Real Credit to non-mfis growth Quarterly Credit to non-gov non-mfis /nominal GDP Quarterly Nominal Credit to non-gov non-mfis growth Quarterly Real Credit to non-gov non-mfis N-MFIs growth Quarterly Liabilities of financial sector/nominal GDP Annual/Quarterly 1960/
6 Liabilities of non-financial sector/nominal GDP Annual/Quarterly 1960/ Households Liabilities /nominal GDP Annual/Quarterly 1960/ Government liabilities/ liabilities of non-financial sector Annual/Quarterly 1960/ Financial assets of financial sector/nominal GDP Annual/Quarterly 1960/ Financial assets of non-financial sector/nominal GDP Annual/Quarterly 1960/ Households Financial assets /nominal GDP Annual/Quarterly 1960/ Government assets/ assets of non-financial sector Annual/Quarterly 1960/ Loans of non-financial sector/nominal GDP Annual/Quarterly 1960/ Households Loans /nominal GDP Annual/Quarterly 1960/ GAPS Equity Germany CDAX Total Return Index (w/gfd extension) CDAXD Quarterly Germany CDAX Banks Price Index CXKBXD Quarterly Germany CDAX Financial Services Price Index CXKVXD Quarterly Germany CDAX Composite Index (w/gfd extension) FWBXXD Quarterly Germany REX Government Bonds Performance Index GREXPD Quarterly Property Real res. property prices gap Quarterly Banks and Flow of Funds Consumer credit/credit to MFI Quarterly Housing loans/credit to non-mfi Quarterly Banks assets/nominal GDP Quarterly Loans to HH/nominal GDP Quarterly Housing loans/nominal GDP Quarterly Consumer credit/nominal GDP Quarterly Credit to non-mfis/nominal GDP Quarterly Credit to non-gov non-mfis /nominal GDP Quarterly Liabilities of financial sector/nominal GDP Quarterly Liabilities of non-financial sector/nominal GDP Quarterly Households Liabilities /nominal GDP Quarterly Government liabilities/ liabilities of non-financial sector Quarterly Financial assets of financial sector/nominal GDP Quarterly Financial assets of non-financial sector/nominal GDP Quarterly Households Financial assets /nominal GDP Quarterly Government assets/ assets of non-financial sector Quarterly Loans of non-financial sector/nominal GDP Quarterly Households Loans /nominal GDP Quarterly Sources: Bloomberg; Datastream; Global Financial Database; OECD Profitability Tables; national data.
7 Data description Canada Table A4 Variables Frequency Time span Interest rates and spreads Official bank rate Quarterly month Time Deposit Rate (mm) Quarterly month Treasury Bill Yield Quarterly month Prime corporate paper (3-month cp) Quarterly year government bond yield Quarterly Long-term Corporate Bond Yield Quarterly Real long-term interest rate (10-year government bond yield) Quarterly Real short-term interest rate (3-month money market rate) Quarterly month cp rate-3-month money market rate spread Quarterly month cp rate-3-month T-bill rate spread Quarterly Corporate bond yield-10-year government bond yield spread Quarterly year government bond yield-3-month T-bill rate spread Quarterly Equity markets SE Capitalization (Value Traded USD) Quarterly S&P/TSX-300 Dividend Yield Quarterly S&P/TSX-300 SE Price/Earnings Ratio Quarterly Canada S&P/TSX 300 Composite Quarterly Canada S&P/TSX Banks Quarterly Canada S&P/TSX Financials Quarterly Real estate Nominal residential property prices growth Quarterly Real residential property prices growth Quarterly Banks and Flow of Funds data Banks capital and reserves/banks; total assets Annual Banks net interest income/ banks total assets Annual Provision on loans /Total loans Annual Banks return on equity Annual Banks return on assets Annual Banks general loans/nominal GDP Quarterly Nominal Banks general loans growth Quarterly Real Banks general loans growth Quarterly Banks business loans/nominal GDP Quarterly Nominal Banks business loans growth Quarterly Real Banks business loans growth Quarterly Banks personal loans/nominal GDP Quarterly Nominal Banks personal loans growth Quarterly Real Banks personal loans growth Quarterly Banks residential mortgages/nominal GDP Quarterly Nominal Banks residential mortgages growth Quarterly Real Banks residential mortgages growth Quarterly Banks credit to private sector/nominal GDP Quarterly Nominal Banks credit to private sector growth Quarterly Real Banks credit to private sector growth Quarterly Credit inst. credit to non-bank non-govt. sector/nominal GDP Quarterly Nominal Credit inst. credit to non-bank non-govt. sector growth Quarterly Real Credit inst. credit to non-bank non-govt. sector growth Quarterly Banks residential mortgages/ Banks credit to private sector Quarterly Banks personal loans/ Banks credit to private sector Quarterly Liabilities of financial sector/nominal GDP Annual/Quarterly 1961/ Liabilities of non-financial sector/nominal GDP Annual/Quarterly 1961/ Households Liabilities /nominal GDP Quarterly Government liabilities/ liabilities of non-financial sector Annual/Quarterly 1961/ Financial assets of financial sector/nominal GDP Annual/Quarterly 1961/ Financial assets of non-financial sector/nominal GDP Annual/Quarterly 1961/
8 Households Financial assets /nominal GDP Annual/Quarterly 1961/ Government assets/ assets of non-financial sector Annual/Quarterly 1961/ Household s mortgages/nominal GDP Quarterly Consumer credit/nominal GDP Quarterly GAPS Equity Canada S&P/TSX 300 Composite (w/gfd extension) Quarterly Canada S&P/TSX Banks Quarterly S&P/TSX Capped Financials Index Quarterly Property Real res. property prices gap Quarterly Banks and Flow of Funds Banks general loans/nominal GDP Quarterly Banks business loans/nominal GDP Quarterly Banks personal loans/nominal GDP Quarterly Banks residential mortgages/nominal GDP Quarterly Banks credit to private sector/nominal GDP Quarterly Credit inst. credit to non-bank non-govt. sector/nominal GDP Quarterly Banks residential mortgages/ Banks credit to private sector Quarterly Banks personal loans/ Banks credit to private sector Quarterly Liabilities of financial sector/nominal GDP Quarterly Liabilities of non-financial sector/nominal GDP Quarterly Households Liabilities /nominal GDP Quarterly Government liabilities/ liabilities of non-financial sector Quarterly Financial assets of financial sector/nominal GDP Quarterly Financial assets of non-financial sector/nominal GDP Quarterly Households Financial assets /nominal GDP Quarterly Government assets/ assets of non-financial sector Quarterly Household s mortgages/nominal GDP Quarterly Consumer credit/nominal GDP Quarterly Sources: Bloomberg; Datastream; Global Financial Database; OECD Profitability Tables; national data.
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