Ling Hu and Peter C. B. Phillips, "Dynamics of the Federal Funds Target
Rate: A Nonstationary Discrete Choice Approach", Journal of Applied
Econometrics, Vol. 19, No. 7, 2004, pp. 851-867.

Data are in the ASCII files fomc-csv.data and fomc.data, which are
zipped in hu-phillips.zip. The two files contain the same data. In
fomc-csv.data, they are in comma-separated form, while in fomc.data they
are arranged into columns.

There are seven columns in the data files.  The first column lists the
date, which is from Dec. 1992 to Dec. 2001. The second column is the
target rate.  The third column is a dummy variable which equals 1 if
there is a scheduled FOMC meeting in that month and equals 0
otherwise.  For readers who are interested, there are some unscheduled
meetings that took place in Jan 1998, Jan 2001, April 2001, and
September 2001.

From column four to seven are the explanatory variables: consumer
confidence, jobless insurance claims, money supply, and new orders.  For
the latter two series, it is their annual growths that have been used
in the estimation. Hence the data are from Dec. 1992.

As noted in the paper, we allow a one month lag between the meeting
month and the month of statistics.  Hence the interest rate data is up
to Dec 2001 while other series are up to Nov. 2001.