numeraire_dataset.load_pastor_stambaugh_liquidity#

numeraire_dataset.load_pastor_stambaugh_liquidity(*, start_date: str | None = None, end_date: str | None = None, url: str = 'https://faculty.chicagobooth.edu/-/media/faculty/lubos-pastor/data/liq_data_1962_2025.txt', timeout: float = 30.0) → DataFrame[source]#

Official Pastor–Stambaugh aggregate-liquidity snapshot, with explicit units.

The returned monthly frame is timestamped at month-end and contains agg_liq and innov_liq exactly in the author’s published numeric scale, liquidity_innovation as innov_liq / 100 for the paper’s equations 14–18 and numeraire-zoo, and traded_liq as a decimal 10-minus-1 portfolio return. Only the author’s documented pre-1968 -99 values in traded_liq become missing; every other sentinel, malformed row, duplicate, or calendar gap is rejected. start_date and end_date are inclusive against those month-end timestamps.

The author revises the full historical file, so this is a latest/revised snapshot, not a point-in-time vintage suitable for historical forecasting. Provenance records the pinned Booth URL, an allowlist of HTTP metadata, retrieval time, exact response SHA-256, parser/unit recipe, and requested/selected slice. The content hash, rather than Last-Modified, identifies the data vintage. No response bytes are persisted. url may point to a newer year-stamped file only inside the same official Booth author-data directory; mirrors are never substituted.