Partha Deb, Pravin K. Trivedi, and Panayotis Varangis, "The Excess Co-movement of Commodity Prices Reconsidered", Journal of Applied Econometrics, Vol. 11, No. 3, 1996, pp. 275-292. There are two files, both in DOS format, which are zipped in dtvdata.zip. FILE 1: data used in the 1960-1985 analysis filename: ec6085.dtv filesize: 62,895 bytes (Unix) 63,202 bytes (DOS) filetype: ascii, space delimited columns: year month cocoa coffee copper cotton gold lead lumber maize oil sugar wheat cpi exr iip m1 sp tbr FILE 2: data used in the 1974-1992 analysis filename: ec7492.dtv filesize: 30,733 bytes (Unix) 30,961 bytes (DOS) filetype: ascii, space delimited columns: year month cocoa coffee copper cotton gold lead maize oil sugar wheat cpi exr iip m1 sp tbr DATA DESCRIPTION Macro variables: monthly log differences of indexes cpi: the US Consumer Price Index exr: equally weighted average of the yen, Deutsche mark and British pound sterling vis-a-vis the US dollar iip: total index of industrial production, seasonally adjusted m1: US M1, seasonally adjusted sp: the Standard and Poor's 500 index tbr: nominal 3-month Treasury bill All data, except exchange rates, were obtained from the Survey of Current Business (Current Business Statistics) of the Department of Commerce, various issues. Exchange rate data were obtained by the IMF/IFS Statistics, various issues. Commodity Prices: monthly log differences of prices Cocoa: ICCO, average of the first three positions on the terminal markets of New York and London, nearest three future trading months, from the Financial Times Coffee: Other Mild Arabica, Average of New York and Bremen/Hamburg markets, ex-dock, from the Financial Times Copper: Producers' Prices of Electrolytic Copper, f.o.b. refinery, from Metals Week Cotton: U.S. middling 1-1/32 inch, Orleans/Texas, from Cotton Outlook, Cotlook Limited Gold: Average of daily spot prices, from Handy and Harman. Lead: 99.7% purity, refined, Settlement Price, London Metal Exchange Lumber: Aggregate Price Index for Lumber and Wood Products, from US Department of Labor Maize: U.S. #2 Yellow, Export bid barge delivered to port elevator at Louisiana Gulf (USDA) Oil: Average spot price of OPEC crude oils, from Platts Oilgram. Sugar: World, ISA average of daily prices, FOB at greater Carribean ports, from the Financial Times Wheat: U.S. No. 2, soft red winter, for prompt shipment, from Grain and Feed Market News (USDA).