Sources Dick, T.J.O. Macroeconomic Data: 1790-1935 (www.economics.utoronto.ca/floyd/dick.html). A list of sources and methods of this data set is contained in the Data Appendix to the working paper: Dick, T.J.O. and J.E. Floyd. 2001. Capital Imports and the Jacksonian Economy: A New View of the Balance of Payments, Department of Economics and Institute for Policy Analysis, University of Toronto, Working Paper Number UT-ECIPA-Floyd-01-01.
International Financial Statistics, International Monetary Fund (IMF), Washington.
Mitchell, B.R. 1998. International Historical Statistics. The Americas 1750-1993. 4th ed., London: Macmillan.
National Bureau of Economic Research. NBER Macrohistory Database (www.nber.org/ macrohistory).
The data sources of Figures 1 and 2 are:
Figure 1 1831-1856: Commercial paper rate (Dick); 1858-1947: Commercial paper rate (NBER); 1948-2004: 90-day US Treasury bill rate (IMF). No adjustments were made for the breaks in the series in 1857 and 1948. In 1857 the commercial paper rate was 11.00 percent (NBER) and 11.56 percent (Dick). In 1948 the 90-day Treasury bill rate and the commercial paper rate were 1.04 percent and 1.44 percent. The real interest rate is the nominal interest rate minus the annual inflation rate (Figure 2).
Figure 2 Consumer price index (CPI): Mitchell (1831-1947) and IMF (1948-2004).
Attanasio, O.P. and Low, H. (2004) Estimating Euler Equations, Review of Economic Dynamics, 7, 406-435.
Auerbach, A.J. and Obstfeld, M. (2005) The Case for Open-Market Purchases in a Liquidity Trap, American Economic Review, 95-1, 110-137.
Barro, R.J. (1987) Government Spending, Interest Rates, Prices, and Budget Deficits in the United Kingdom, 1701-1918, Journal of Monetary Economics, 20, 221-247.
----------. (1993) Macroeconomics, 4th ed., New York: Wiley.
----------. (2006) Rare Disasters and Asset Markets in the Twentieth Century, Quarterly Journal of Economics, 823-866.
Bliss, R.R. and Panigirtzoglou, N. (2004) Option-Implied Risk Aversion Estimates, Journal of Finance, 59-1, 407-446.
Carroll, C.D. (2001) Death to the Log-Linearized Consumption Euler Equation! (And a Very Poor Health to the Second-Order Approximation), Advances in Macroeconomics, 1-1, Article 6, Berkeley Electronic Press.
Chari, V.V., Kehoe, P.J. and McGrattan, E.R. (2002) Accounting for the Great Depression, American Economic Review, 92-2, May, 22-27.
Cochrane, J.H. (2005) Asset Pricing (revised) Princeton: Princeton University Press.
Cole L.H. and Ohanian, L.E. (1999) The Great Depression in the United States from a Neoclassical Perspective, Quarterly Review, Federal Reserve Bank of Minneapolis, 23-1, Winter, 2-24.
----------. (2004) New Deal Policies and the Persistence of the Great Depression: A General Equilibrium Analysis, Journal of Political Economy, 112, 779-816.
Eggertson, G. (2006) The Deflation Bias and Committing to Being Irresponsible, Journal of Money, Credit and Banking, 38-2, 283-321.
Eggertson, G. and Woodford, M. (2003) Optimal Monetary Policy in a Liquidity Trap, International Workshop in Overcoming Deflation and Revitalizing the Japanese Economy, Economic and Social Research Institute, Tokyo.
----------. (2004) Optimal Monetary Policy and Fiscal Policy in a Liquidity Trap, NBER International Seminar on Macroeconomics, Reykjavik, Iceland.
Engle, R. (2002) Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models, Journal of Business & Economic Statistics, 20-3, 339-350.
Friedman, M. and Schwartz, A.J. (1963) A Monetary History of the United States, 1867-1960, Princeton: Princeton University Press.
Greasley, D., Madsen, J.B. and Oxley, L. (2001) Income Uncertainty and Consumer Spending During the Great Depression, Explorations in Economic History, 38, 225-251.
Hansen, L.P. and Singleton, K.J. (1982) Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models, Econometrica, 50-5, 1269-1286.