Shiller function

Download Robert Shiller's Data

Download the data provided by Robert Shiller and transform them into a data frame.

Shiller(dest.dir,
        url = NULL)

Arguments

• dest.dir: character: a path to a directory
• url: the data URL

Details

The function downloads US stock-market data provided by Robert Shiller which he used in his book Irrational Exhuberance . Since the data are provided in Excel format, package readxl is required.

The downloaded Excel gets a date prefix (today in format YYYYMMDD) and is stored in directory dest.dir. Before any download is attempted, the function checks whether a file with today's prefix exist in dest.dir; if yes, the file is used.

Returns

a data.frame: - Date: end of month

• Price: numeric

• Dividend: numeric

• Earnings: numeric

• CPI: numeric

• Long Rate: numeric

• Real Price: numeric

• Real Dividend: numeric

• Real Earnings: numeric

• CAPE: numeric

References

Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. tools:::Rd_expr_doi("10.1016/C2017-0-01621-X")

Schumann, E. (2023) Financial Optimisation with R (NMOF Manual). https://enricoschumann.net/NMOF.htm#NMOFmanual

Shiller, R.J. (2015) Irrational Exhuberance. Princeton University Press. 3rd edition.

Author(s)

Enrico Schumann

See Also

French

Examples

## Not run:

archive.dir <- "~/Downloads/Shiller"
if (!dir.exists(archive.dir))
    dir.create(archive.dir)
Shiller(archive.dir)
## End(Not run)