A monthly Euro area data covering the period from January 1999 to December 2021 (276 observations) and consisting four variables: cyclical component of log industrial production index, the log-difference of harmonized consumer price index, the log-difference of Brent crude oil prices (Europe), and an interest rate variable. The interest rate variable is the Euro overnight index average rate (EONIA) from January 1999 to October 2008, and after that the Wu and Xia (2016) shadow rate, which is not constrained by the zero lower bound and also quantifies unconventional monetary policy measures. The log-difference of the harmonized consumer price index is multiplied by hundred and the log-difference of oil price by ten. This data is the one that was used in Virolainen (2022).
A quarterly U.S. data covering the period from 1954Q3 to 2021Q4 (270 observations) and consisting four variables: the log-difference of real GDP, the log-difference of GDP implicit price deflator, the log-difference of producer price index (all commodities), and an interest rate variable. The interest rate variable is the effective federal funds rate from 1954Q3 to 2008Q2 and after that the Wu and Xia (2016) shadow rate, which is not constrained by the zero lower bound and also quantifies unconventional monetary policy measures. The log-differences of the GDP, GDP deflator, and producer price index are multiplied by hundred. This data is used in Virolainen (forthcoming).
A quarterly U.S. data covering the period from 1954Q3 to 2021Q4 (270 observations) and consisting four variables: cyclical component of the log of real GDP, the log-difference of GDP implicit price deflator, the log-difference of producer price index (all commodities), and an interest rate variable. The interest rate variable is the effective federal funds rate from 1954Q3 to 2008Q2 and after that the Wu and Xia (2016) shadow rate, which is not constrained by the zero lower bound and also quantifies unconventional monetary policy measures. The log-differences of the GDP deflator and producer price index are multiplied by hundred.
A monthly U.S. data covering the period from 1961I to 2022III (735 observations) and consisting four variables. First, The Actuaries Climate Index (ACI), which is a measure of the frequency of severe weather and the extend changes in sea levels. Second, the monthly GDP growth rate constructed by the Federal Reserve Bank of Chicago from a collapsed dynamic factor analysis of a panel of 500 monthly measures of real economic activity and quarterly real GDP growth. Third, the monthly growth rate of the consumer price index (CPI). Third, an interest rate variable, which is the effective federal funds rate that is replaced by the the Wu and Xia (2016) shadow rate during zero-lower-bound periods. The Wu and Xia (2016) shadow rate is not bounded by the zero lower bound and also quantifies unconventional monetary policy measures, while it closely follows the federal funds rate when the zero lower bound does not bind.
A monthly U.S. data covering the period from 1987:4 to 2024:2 (443 observations) and consisting six variables. First, the climate policy uncertainty index (CPUI) (Gavridiilis, 2021), which is a news based measure of climate policy uncertainty. Second, the economic policy uncertainty index (EPUI), which is a news based measure of economic policy uncertainty. Third, the log-difference of real indsitrial production index (IPI). Fourth, the log-difference of the consumer price index (CPI). Fifth, the log-difference of the producer price index (PPI). Sixth, an interest rate variable, which is the effective federal funds rate that is replaced by the the Wu and Xia (2016) shadow rate during zero-lower-bound periods. The Wu and Xia (2016) shadow rate is not bounded by the zero lower bound and also quantifies unconventional monetary policy measures, while it closely follows the federal funds rate when the zero lower bound does not bind. This is the dataset used in Virolainen (2024)
A quarterly U.S. data covering the period from 1954Q3 to 2021Q4 (270 observations) and consisting three variables: cyclical component of the log of real GDP, the log-difference of GDP implicit price deflator, and an interest rate variable. The interest rate variable is the effective federal funds rate from 1954Q3 to 2008Q2 and after that the Wu and Xia (2016) shadow rate, which is not constrained by the zero lower bound and also quantifies unconventional monetary policy measures. The log-differences of the GDP deflator and producer price index are multiplied by hundred.
