International Review of Economics and Finance

The data contain four files, the do-file of IREF_2018_41, the Data of IREF_2018_41, IREF_2018_41 - Fig. 1. and IREF_2018_41 - Fig. 2., in the ZIP file.

The first Excel file "Complete data" contains the original Macrohistory data from Jorda, Schularick, and Taylor (2017) as well as the capital share database by Bengtsson and Waldenström (2017). The file also contains most of the regression outputs we have estimated in the paper, including all of the main results. The Stata file contains the code for most of the regressions and summary statistics in the paper. The second Excel file "Data R" contains the data, which we have used to estimate the time series factor model for the 3 variables at hand. The time series factor model was estimated in R instead (see "Factor model.r") based on code provided by Gilbert and Meijer (2005).

Data consists of 10 Asian countries, Japan, China, Hong Kong, Taiwan, South Korea, Singapore, Malaysia, Thailand, Indonesia, Philippines plus U.S., total 11 countries. Monthly stock market index and nominal exchange rates (end of the month in local currency terms) are collected from Datastream from January 1990 to December 2013 total 288 monthly observations. Each country data in in a separate workbook tab. There are 10 country workbook tab plus US data in the 11th tab. 12th tab workbook describes data for each country. The last tab workbook combines all country data into one single pooled data file.

Data consists of 10 Asian countries, Japan, China, Hong Kong, Taiwan, South Korea, Singapore, Malaysia, Thailand, Indonesia, Philippines plus U.S., total 11 countries. Monthly stock market index and nominal exchange rates (end of the month in local currency terms) are collected from Datastream from January 1990 to December 2013 total 288 monthly observations. Monthly dividend yield is obtained from the Bloomberg for the sample period.

This dataset contains the Singapore Stock Market Index (STI) and Standard & Poor's Composite 500 Index (S&P500), from January 1, 2000 to December 31, 2015.