The database covers 17 advanced economies since 1870 on an annual basis. It comprises 45 real and nominal variables. Among these, there are time series that had been hitherto unavailable to researchers, among them financial variables such as bank credit to the non-financial private sector, mortgage lending and long-term returns on housing, equities, bonds and bills. The database captures the near-universe of advanced-country macroeconomic and asset price dynamics, covering on average over 90 percent of advanced-economy output and over 50 percent of world output.
Assembling the database, we relied on the input from colleagues, coauthors and doctoral students in many countries, and consulted a broad range of historical sources and various publications of statistical offices and central banks. For some countries we extended existing data series, for others, we relied on recent data collection efforts by others. Yet in a non-negligible number of cases, we had to go back to archival sources including documents from governments, central banks, and private banks. Typically, we combined information from various sources and spliced series to create long-run datasets spanning the entire 1870–2016 period for the first time. The table below lists the available series.
Users may directly load the full dataset into Stata over the internet via the command: use http://macrohistory.net/JST/JSTdatasetR4.dta
||Nominal GDP (local currency), Real GDP per capita (PPP), Real GDP per capita (index, 2005=100), Real Consumption per capita (index, 2006=100), Investment-to-GDP Ratio, Population|
||Current Account (nominal, local currency), Imports (nominal, local currency), Exports (nominal, local currency), USD Exchange Rate (local currency/USD)|
|Government||Government Revenue (nominal, local currency), Government Expenditure (nominal, local currency), Public Debt-to-GDP Ratio|
|Money, Prices & Interest Rates
||Narrow Money (nominal, local currency), Broad Money (nominal, local currency), Short-term Interest Rate (nominal, percent per year), Long-term Interest Rates (nominal, percent per year), Consumer Prices (index, 1990=100)|
||Total Loans to Non-financial Private Sector (nominal, local currency), Mortgage Loans to Non-financial Private Sector (nominal, local currency), Total Loans to Households (nominal, local currency), Total Loans to Business (nominal, local currency)|
||House Prices (index, 1990=100)|
||Systemic Financial Crisis (0-1 dummy)|
|Rates of Return
||Equity Total Return, Capital Gain and Dividend Yield; Housing Total Return, Capital Gain and Rental Yield; Government Bond Total Return, Government Bill Rate; Total Rates of Return on Risky and Safe Assets, and on Overall Wealth. All data are nominal, local currency.|
||Peg (0-1 dummy), Strict Peg (0-1 dummy), Peg Type (Base, Peg, Float), Peg Base|
There are two citations to consider, depending on the data used. Please read this section to the end.
However, those using any data pertaining to rates of return should cite Òscar Jordà, Katharina Knoll, Dmitry Kuvshinov, Moritz Schularick, and Alan M. Taylor. 2019. “The Rate of Return on Everything, 1870–2015.” Quarterly Journal of Economics. Forthcoming
We advise making explicit reference to the date when the database was consulted, as statistics are subject to revisions.
More details about the data construction appear in an extensive 100-page documentation file, which also acknowledges the support we received from many colleagues all over the world. The house price and return data series are documented separately in additional files that can be found below.
Several papers have developed and used the database in the past. Among them are the following:
Òscar Jordà, Katharina Knoll, Dmitry Kuvshinov, Moritz Schularick and Alan M. Taylor. 2019. “The Rate of Return on Everything, 1870–2015”. Quarterly Journal of Economics. Forthcoming.
Òscar Jordà, Moritz Schularick, and Alan M. Taylor. 2019. “The Effects of Quasi-random Monetary Experiments.” Journal of Monetary Economics. Forthcoming.
Òscar Jordà, Moritz Schularick, Alan M. Taylor, and Felix Ward. 2019. “Global Financial Cycles and Risk Premiums.” IMF Economic Review 67, no. 1. 109–150.
Katharina Knoll, Moritz Schularick, and Thomas Steger. 2016. "No Price Like Home: Global House Prices 1870-2012," American Economic Review 107(2): 331-353.
Manuel Funke, Moritz Schularick, and Christoph Trebesch. 2016. "Going to Extremes: Politics after Financial Crises, 1870–2014," European Economic Review 88: 227-260.
Òscar Jordà, Moritz Schularick, and Alan M. Taylor. 2016. "The Great Mortgaging: Housing Finance, Crises, and Business Cycles," Economic Policy 31(85): 107-115.
Òscar Jordà, Moritz Schularick, and Alan M. Taylor. 2016. "Sovereigns versus Banks: Credit, Crises, and Consequences," Journal of the European Economic Association 14(1): 45-79.
Òscar Jordà, Moritz Schularick, and Alan M. Taylor. 2015. "Leveraged Bubbles," Journal of Monetary Economics 76: S1-S20.
Òscar Jordà, Moritz Schularick, and Alan M. Taylor. 2015. "Betting the House," Journal of International Economics 96(S1): S2-S18
Òscar Jordà, Moritz Schularick, and Alan M. Taylor. 2013. "When Credit Bites Back," Journal of Money, Credit and Banking 45(s2): 3-28.
Moritz Schularick and Alan M. Taylor. 2013. "Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870-2008," American Economic Review 102(2): 1029-1061.
For questions, comments or suggestions about the data or webpage, please contact us at firstname.lastname@example.org.
Federal Reserve Bank of
San Francisco, UC Davis
University of Bonn, CEPR
Alan M. Taylor
UC Davis, NBER, CEPR
On this website, we provide no-cost open access under a license to an extensive long-run macrofinancial dataset.
This dataset was developed over many years with the generous financial support of the Institute for New Economic Thinking, the Volkswagen Foundation, the German Federal Ministry of Education and Research, and the European Research Council. We also thank our home institutions where we have conducted our research. Consistent with the terms of the support we have received from all of these organizations, our dataset is being made freely available in this non-commercial form.
We grant every user at no cost a license (see below) to use and/or share the licensed material, in whole or in part, provided that it is for non-commercial (e.g., academic) purposes, provided that our dataset is properly attributed and cited to credit the authors, and provided that it may only be shared under identical license terms. Commercial data providers are thus strictly forbidden to integrate all or parts of the dataset into their services and/or resell the data.
All users of this work agree to the terms of a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License. The detailed terms of this license can be found here.
To comply with the attribution requirement in the license, whenever it is used the dataset must be cited as follows:
Òscar Jordà, Moritz Schularick, and Alan M. Taylor. 2017. “Macrofinancial History and the New Business Cycle Facts.” NBER Macroeconomics Annual 2016, volume 31, edited by Martin Eichenbaum and Jonathan A. Parker. Chicago: University of Chicago Press.
However, those using any data pertaining to asset prices or rates of return should cite Òscar Jordà, Katharina Knoll, Dmitry Kuvshinov, Moritz Schularick, and Alan M. Taylor. 2019. “The Rate of Return on Everything, 1870–2015.” Quarterly Journal of Economics. Forthcoming.
We advise making explicit reference to the date when the database was consulted, as statistics are subject to revisions.
The Jordà-Schularick-Taylor Macrohistory Database would not have come into being without the dedication of doctoral students, research assistants, the generosity of many colleagues at universities, central banks, and historical archives. We are particularly grateful to Felix Ward and Niklas Flamang for coordinating work on the database at various stages of the project.
In order of countries, we are grateful to:
Australia: Tim Hatton, ANU, Peter Tulip, Reserve Bank of Australia, Philipp Hofflin, Lazard Asset Management, Christoph Trebesch, Kiel Institute for the World Economy.
Belgium: Willy Bieseman, National Bank of Belgium, René Brion, BNP Paribas, Frans Buelens, University of Antwerp, Erik Buyst, University of Leuven, Els Demuynck, Vlaamse Overheid, Daisy Dillens, National Bank of Belgium, Guy Lambrechts, Vlaamse Overheid, Ivo Maes, National Bank of Belgium, Jean-Louis Moreau, BNP Paribas, Viviane De Pré, National Bank of Belgium, Erik Vloeberghs, Statistics Belgium, Paul de Wael, STADIM, Christopher Warisse, National Bank of Belgium, Stijn Van Nieuwerburgh, New York University Stern School of Business.
Canada: Debra Conner, Canadian Housing Information Centre, Gregory Klump, CREA, Marvin McInnis, Queens University.
Denmark: Kim P. Abildgren, Danmarks Nationalbank, Rune Egstrup, Danmarks Nationalbank, Ina Saaby Hvolbøl, Danmarks Nationalbank, Finn Østrup, Copenhagen Business School, Kevin O’Rourke, University of Oxford.
Finland: Soile Hakonen, Library of the Bank of Finland, Risto Herrala, Bank of Finland, Riita Hjerppe, University of Helsinki, Vappu Ikonen, Bank of Finland, Petri Kettunen, Statistics Finland, Antti Kuusterä, Bank of Finland, Kari Leväinen, Helsinki University of Technology, Susanna Lindström, Bank of Finland, Marketta Lukkari, Statistics Finland, Tiina Skogberg, Library of the Bank of Finland, Essi Tamminen, Bank of Finland, Anja Törmä, Statistics Finland, Information Service of the Library of Statistics, Hannele Turunen, Bank of Finland, Juhani Väänänen, National Land Survey of Finland, Mika Vaihekoski, University of Turku.
France: Patrice Baubeau, Université Paris Ouest Nanterre, Sabine Effosse, Université Francois Rabelais Tours, Jacques Friggit, CGEDD, Frederik Grélard, Banque de France, Pierre-Cyrille Hautcoeur, EHESS, David Le Bris, Toulouse Business School, Eric Monnet, Banque de France.
Germany: Carsten Burhop, University of Bonn, Jens Conrad, Bundesbank, Karin Fitzner, Bundesbank, Peter Gleber, Bundesverband der Deutschen Volksbanken und Raiffeisenbanken, Petra Hauck, Statistisches Bundesamt, Carl-Ludwig Holtfrerich, Freie Universität Berlin, Alexander Nützenadel, Humboldt Universität Berlin, Andrea Papadia, London School of Economics, Albrecht Ritschl, London School of Economics, Ulrich Ronge, Knoesel & Ronge, Thorsten Weber, Sparkassenhistorisches Dokumentationszentrum, Ulrich Weber, Hochschule Anhalt, Nikolaus Wolf, Humboldt Universität Berlin.
Italy: Riccardo De Bonis, Banca d’Italia, Sergio Cardarelli, Banca d’Italia, Massimo Caruso, Banca d’Italia, Giuseppe Conte, Banca d’Italia, Silvia Giacinti, Banca d’Italia, Alfredo Gigliobianco, Banca d’Italia, Andrea Mercatanti, Banca d’Italia, Stefano Battilossi, Universidad Carlos III de Madrid, Giovanni Pellegrino, University of Verona, Roberto Violi, Banca d’Italia.
Japan: John James, University of Virginia, Makoto Kasuya, University of Tokyo, Ryoji Koike, Bank of Japan, Magdalena Korb, KfW, Yuzuru Kumon, UC Davis, Masato Shizume, Bank of Japan.
Netherlands: Piet Eichholtz, Maastricht University, Ferry Lapré, Statistics Netherlands, Wouter Leenders, Oxford University, Alfred Moest, Library Statistics Netherlands, Marjan Peppelmann, BDB, Tijmen Swank, Dutch National Bank, Joost Jonker, Universiteit van Amsterdam, Roger Otten, Maastricht University.
Norway: Roger Bjornstad, Samfunnsøkonomisk Analyse, Ola Gruyyen, Norwegian School of Economics, Jan Tore Klovland, Norwegian School of Economics, Anders Kvernberg, Oslo Nasjonalbiblioteket, Einar Thorsrud Lømo, Statistics Norway, Kari Pedersen, Statistics Norway, Trond Amund Steinset, Statistics Norway, Lars Tingelstad, Oslo Nasjonalbiblioteket.
Portugal: Rui Alpalhão, ISCTE Business School, Jaime Reis, University of Lisbon, Nuno Valério, Technical University of Lisbon, Jose Rodrigues da Costa, Lisbon Stock Exchange and New University of Lisbon, Maria Eugénia Mata, Nova School of Business.
Spain: Pablo Martín-Aceña, University of Alcalá, Stefano Battilossi, Universidad Carlos III de Madrid, Clara Martinez Toledano-Toledano, Paris School of Economics.
Sweden: Johannes Andersson, Statistics Sweden, Daniel Waldenström, Uppsala University, Olle Krantz, Umeå Universitet, Birgitta Magnusson Wärmark, Statistics Sweden, Jonas Zeed, Statistics Sweden.
Switzerland: Christoph Enzler, Bundesamt für Wohnungswesen, Joel Floris, University of Zurich, Franz Murbach, Bundesamt für Statistik, Rebekka Schefer, UBS AG, Iso Schmid, Agristat, Annika Steiner, Wüest und Partner, Peter Steiner, Eidgenössische Finanzverwaltung, Robert Weinert, Wüest und Partner, Martin Zehnder, Swiss National Bank.
United Kingdom: Amanda Bell, Office for National Statistics, Colin Beattie, London School of Economics, Richard Grossman, Wesleyan University, Defra Krieghoff, London School of Economics, Niels Krieghoff, London School of Economics, Peter Mayer, Land Registry, Joshua Miller, RICS, Neil Monnery, Ashridge Strategic Management Centre, Ryland Thomas, Bank of England, John Turner, Queen's University Belfast.
United States: Kris Mitchener, Santa Clara University, Jonathan D. Rose, Board of Governors of the Federal Reserve System, Kenneth Snowden, University of North Carolina Greensboro, Matthew Rognlie, Northwestern University.
Various countries: Lars Jonung, Lund University School of Economics and Management, Josefin Meyer, Kiel Institute for the World Economy, Lyndon Moore, University of Melbourne.
Doctoral students and postdocs: Francisco Amaral, Katharina Knoll, Dmitry Kuvshinov, Björn Richter, Kaspar Zimmermann.
Research assistants: João Azevedo, Felipe Benguria, Stephanie Feser, Larissa Fuchs, Nina Furbach, Dimitrios Kanelis, Corinna Kohl, Sarah Leitner, Sandra Matuschke, Manuel Peter, Laura Puglisi, Karthik Reddy, Felix Rhiel, Mario Richarz, Thomas Schwarz, Mandy Skierlo, Lucie Stoppok, Maira Talha, Yevhenii Usenko, Dominik Wehr, Marco Wyzietzki, Elin Al Zaim.