Data Appendix

No.	Variables	Code	Series description	Unit of data	Source
Case A and Case D: The standard one-to-one matching estimation method
1	R	6	Interest rate: Federal Funds Effective Rate	% per annum	FRB
2	Y1	5	Real gross domestic product (excluding net export)	Billion of chained 2000	BEA
3	C1	5*	Gross personal consumption expenditures	Billion dollars	BEA
4	I1	5*	Gross private domestic investment - Fixed investment	Billion dollars	BEA
5	π1	8	Price deflator: Gross domestic product	2005Q1 = 100	BEA
6	w1	2	Real Wage (Smets and Wouters)	1992Q3 = 0	SW (2007)
7	L1	1	Hours Worked (Smets and Wouters)	1992Q3 = 0	SW (2007)
8	RE1	6	Moody's bond indices - corporate Baa	% per annum	Bloomberg
9	LevF	7	Commercial banks leverage ratio	Total asset/net worth ratio	FRB
10	LevE	3	Nonfarm nonfin corp business leverage ratio	Total asset/net worth ratio	FRB
11	s1	1	Charge-off rates for all banks credit and issuer loans	% per annum	FRB
Case B and Case D: The data-rich estimation method
12	Y2	4	Industrial production index: final products	Index 2007 = 100	FRB
13	Y3	4	Industrial production index: total index	Index 2007 = 100	FRB
14	Y4	4	Industrial production index: products	Index 2007 = 100	FRB
15	C2	5*	PCE excluding food and energy	Billions of dollars	BEA
16	C3	5	Real PCE, quality indexes; nondurable goods	Index 2005 = 100	BEA
17	C4	5	Real PCE, quality indexes; services	Index 2005 = 100	BEA
18	I2	5	Real gross private domestic investment	Billions of Chained 2005	BEA
19	I3	5*	Gross private domestic investment: fixed nonresidential	Billions of dollars	BEA
20	I4	5	Manufactures' new orders: nondefence capital goods	Millions of dollars	DOC
21	π2	8	Core CPI excluding food and energy	Index 2005 = 100	BEA
22	π3	8	Price index - PCE excluding food and energy	Index 2005 = 100	BEA
23	π4	8	Price index - PCE - Service	Index 2005 = 100	BEA
24	w2	4*	Average hourly earnings: manufacturing	Dollars	BLS
25	w3	4*	Average hourly earnings: construction	Dollars	BLS
26	w4	4*	Average hourly earnings: service	Dollars	BLS
27	L2	4	Civilian Labor Force: Employed Total	Thous.	BLS
28	L3	4	Employees, nonfarm: total private	Thous.	BLS
29	L4	4	Employees, nonfarm: goods-producing	Thous.	BLS
30	RE2	6	Bond yield: Moody's Baa industrial	% per annum	Bloomberg
31	RE3	6	Bond yield: Moody's A corporate	% per annum	Bloomberg
32	RE4	6	Bond yield: Moody's A industrial	% per annum	Bloomberg
33	LevF	9	Core capital leverage ratio PCA all insured institutions	Core capital/total asset	FDIC
34	LevF	7	Domestically chartered commercial banks leverage ratio	Total asset/net worth	FRB
35	LevF	7	Brokers and dealers leverage ratio	Total asset/net worth	FOF
36	LevE	3	Nonfarm nonfinancial non-corporate leverage ratio	Total asset/net worth	FOF
37	LevE	3	Nonfarm corporate leverage ratio	Total asset/net worth	FRB
38	s2	1	Charge-off rate on all loans and leases all commercial banks	% per annum	FRB
39	s3	1	Charge-off rate on all loans all commercial banks	% per annum	FRB
40	s4	1	Charge-off rate on all loans banks 1st to 100th largest by assets	% per annum	FRB

Note: The format is: series number; transformation code; series description; unit of data and data source. The transformation codes are: 1 - demeaned; 2 - linear detrended; 3 - logarithm and demeaned; 4 - logarithm, linear detrend, and multiplied by 100; 5 - log per capita, linear detrended and multiplied by 100; 6 - detrended via HP filter; 7 - logarithm, detrended via HP filter, and multiplied by 100; 8 - first difference logarithm, detrended via HP filter, and multiplied by 400; 9 - the reciprocal number, logarithm, detrended via HP filter, and multiplied by 100. A * indicate a series that is deflated with the GDP deflator. "PCE" and "SW (2007)" in this table denote personal consumption expenditure and Smets and Wouters (2007), respectively.