Description

This data set contains monthly observations on industrial production, consumer price indices, short- and long-term interest rates, real effective exchange rates and equity prices. The time period covered is from January 2000 to December 2015 and the country coverage amounts to 28 countries – roughly corresponding to EU member states + G-8 countries and a country model to model common monetary policy in the euro area.

Usage

Format

The data loads three objects monthlyData, which is a list object of length N+1 (i.e, the number of countries + the ECB country model), W, which is an N times N weight matrix with rowsums summing up to unity and zero elements on its diagonal. The countries are abbreviated using ISO-2 codes. The weight matrix corresponds to average annual input output flows for the N countries over the period from 2000 to 2014. The data are from the world input output table database (http://www.wiod.org/home) and are fully described in Timmerman et al. (2015). monthlyData contains the country data. Per default, variables that should affect all countries (global variables) are treated as endogenous variables in the US country model (poil, pcom, vix). Akin to Georgiadis (2015), interest setting in the euro area is modeled by a Taylor rule that includes ppp-weighted output and prices of euro area countries. The euro area interest rate enters other country models as an additional exogenous variable. For more details, see below:

• W Weight matrix, rowsums equal unity.

• monthlyData List object containing

  • y Industrial production index, in real terms, logarithmic transform and seasonally adjusted.

  • p Harmonized Consumer Price Index (HCPI) for EU member states, for other countries Consumer Price Index. Data in logarithmic transform and seasonally adjusted.

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

  • EAstir Short-term interest rate, typically 3 months money market rate (3 months euribor).

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

  • er Real effective exchange rate index, deflated by consumer prices.

  • eq Equity price index, in logarithmic transform.

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

  • pcom Commodity price index, seasonally adjusted, in logarithms.

  • vix Volatility index, in logarithms.