Francisco J. Ruge-Murcia, "Uncovering Financial Markets' Beliefs about Inflation Targets", Journal of Applied Econometrics, Vol. 15, No. 5, 2000, pp. 483-512. The data set contains 116 monthly observations of inflation and nominal interest rates in Canada between 1990.01 and 1999.08. Only data for the period with inflation targets, namely from 1992.12 to 1999.08, are used in the estimation of the model. The observation for 1999.08 was the latest available observation at the time the data was collected. Inflation is measured by the yearly change in core CPI, and the nominal interest rates corresponds to the yield (on an annual basis) on 1-month, 3-month, 6-month, and 12-month Treasury Bills. The file rm-data.dat contains 6 columns as follows Column 1: year and month Column 2: annual rate of core inflation Column 3: 1-month nominal interest rate Column 4: 3-month nominal interest rate Column 5: 6-month nominal interest rate Column 6: 12-month nominal interest rate Data source: Bank of Canada Review, various issues