Description

This data set contains 76 quarterly observations by country, spanning the period from 1995Q1 to 2013Q4. The country coverage is 43 countries + the euro area (EA) as a regional aggregate. Additionally, the US country dataset is extended with four quarter ahead expectation data on output, prices and short-term interest rates from the Survey of Professional Forecasters.

Usage

Format

The data loads two objects eerData, which is a list object of length N (i.e, the number of countries) and W.trade0012, which is an N times N weight matrix with rowsums summing up to unity and zero elements on its diagonal. The global variable, oil prices, is included in the US country model as e.g., in Dees et al. (2007). The countries are abbreviated using ISO-2 codes. The weight matrix corresponds to average annual bilateral trade flows (including services) over the period from 2000 to 2012.eerData contains the country data, for more details, see below:

W.trade0012spf

Weight matrix based on trade flows, rowsums equal unity.

eerDataspf

List object of length N containing

• y_t+4 Four-quarter ahead expectation of Real GDP growth.

• Dp_t+4 Four-quarter ahead expectation of consumer price inflation.

• stir_t+4 Four-quarter ahead expectation of short-term interest rates.

• y Real GDP growth.

• Dp Consumer price inflation (period-on-period).

• stir Short-term interest rate, typically 3-months money market rate.

• ltir Long-term interest rates, typically 10-year government bond yields.

• reer Real effective exchange rate, deflated by consumer prices.

• tb Trade balance (ratio of real exports to real imports).

• poil Price of oil, seasonally adjusted, in logarithms.