Dataframe: P01:shiller_market_variables - Robert Shiller’s Stock Market Data

Contents

Dataframe: `P01:shiller_market_variables` - Robert Shiller’s Stock Market Data#

Overview#

File: _data/raw_data/shiller_data.parquet
Source: Robert Shiller’s data website (the ie_data.xls workbook, Data sheet)
Pulled by: pull_shiller.py
Frequency: Monthly, from 1871-01 onward
Index: date

Column Dictionary#

Column	Description
sp500_price	S&P Composite (S&P 500 predecessor) nominal price index, monthly.
dividend	S&P Composite nominal dividend, monthly, as reported by Shiller.
earnings	S&P Composite nominal earnings, monthly, as reported by Shiller.
cpi	Consumer Price Index (CPI-U), monthly, as reported in Shiller’s data set; used to construct the real (inflation-adjusted) series.
gs10	10-year U.S. Treasury (long-term government bond) yield, monthly.
real_price	S&P Composite price, deflated to real (CPI-adjusted) terms by Shiller.
real_dividend	S&P Composite dividend, deflated to real (CPI-adjusted) terms by Shiller.
real_earnings	S&P Composite earnings, deflated to real (CPI-adjusted) terms by Shiller.
pe10	Shiller’s cyclically adjusted price-earnings ratio (CAPE / P/E10): real price divided by the 10-year moving average of real earnings.

DataFrame Glimpse#

Rows: 1212
Columns: 10
$ sp500_price            <f64> 6853.025454545453
$ dividend               <f64> 79.52
$ earnings               <f64> 240.634
$ cpi                    <f64> 324.054
$ gs10                   <f64> 4.14
$ real_price             <f64> 7043.773219867393
$ real_dividend          <f64> 81.73336727829312
$ real_earnings          <f64> 247.33182974905418
$ pe10                   <f64> 39.58164099324255
$ date          <datetime[ns]> 2025-12-01 00:00:00

Dataframe Manifest#

Dataframe Name	Robert Shiller’s Stock Market Data
Dataframe ID	shiller_market_variables
Sources	Robert Shiller’s Data Website
Providers	Robert Shiller
Provider Links	https://shillerdata.com/
Tags	Raw Data, Stock Market, Shiller
Access Types	Public
How is data pulled?	HTTP download via Python `requests`
Data available up to (min)	N/A
Data available up to (max)	N/A
Dataframe Path	C:\Users\fraff\OneDrive\Documentos\UChicago\FINM_32900_Full_Stack_Quantitative_Finance\Project\p03_lopez_salido_stein_zakrajsek_2017_data\raw_data\shiller_data.parquet

Linked Charts:

None

Pipeline Manifest#

Pipeline Name	Credit-Market Sentiment and the Business Cycle
Pipeline ID	P01
Maintainer	Fernando Raffo, Bangjie Xu
Contributors	Fernando Raffo, Bangjie Xu
Repository	fernando-raffo/p03_lopez_salido_stein_zakrajsek_2017
Pipeline Web Page	Pipeline Web Page
Date of Last Code Update	2026-08-19 22:04:54
OS Compatibility	Windows, Linux, MacOS
Linked Dataframes	P01:fred_macroeconomic_variables P01:shiller_market_variables P01:greenwood_hanson_hys P01:mergent_fisd_bond_data P01:fred_processed_monthly_series P01:fred_processed_annual_series P01:shiller_processed_annual_series P01:greenwood_hanson_hys_processed_series