John Creedy, Jenny Lye, and Vance L. Martin, "A Nonlinear Model of the
Long-Run Real US/UK Exchange Rate", Journal of Applied Econometrics,
Vol. 11, No. 6, 1996, pp. 669-686.

The data for this paper are monthly. They start in Feb. 1973 and end in May 
1990. See the paper for sources.

Data are in the DOS file data.clm, which is zipped. The file is organized 
by variable.