Basma Bekdache, "The Time-Varying Behavior of Real Interest Rates: A
Re-Evaluation of The Recent Evidence", Journal of Applied Econometrics,
Vol. 14, No. 2, 1999, pp. 171-190. 

The data are in the file bb-data.zip, which contains a zipped ASCII file
(bb.dat) in DOS format. 

The data are organized by observation (one variable in each column, 373
monthly observations) for the time period January, 1961 to January, 1991,
in the following order: 

1) The Ex post real rate (one month nominal yield minus one month 
inflation rate) expressed in percent per month (eprr_t).

2) The one month nominal yield as measured by the one month spot or zero
coupon yield from the term structure data set by McCulloch and Kwon. This
data set is dowloadable from the Ohio State University Department of
Finance internet site (i_t). 

3) The one month inflation rate, calculated from the CPI-U series 
available from the Bureau of Labor Statistics (BLS) (pi_t).

4) The supply shock variable, computed as the log of the relative 
price of fuel and related products in the producer price index, from 
the BLS (supply_t).

Basma Bekdache
Assistant Professor   
Department of Economics
Wayne State University
Detroit, MI 48202
Phone: 313-577-3231
Fax: 313-577-0149
Email: bbekdac@econ.wayne.edu