Markku Lanne, "Nonlinear Dynamics of Interest Rate and Inflation", 
Journal of Applied Econometrics, Vol. 21, No. 8, 2006, pp. 1157-1168.

The data set consists of quarterly observations of the U.S. nominal 
3-month and 10-year interest rates and consumer price index covering 
the period 1953:I - 2004:IV. The interest rates, given as percentages 
per annum, are extracted from the  Federal Reserve H.15 Release (average
of the daily values from the last month of each quarter). The consumer 
price index (all urban consumers, seasonally adjusted) is provided by 
the Bureau of Labor Statistics.

The data are in an ASCII file (on DOS format) called bvmar.dat, which is
zipped in the file ml-data.zip. The data are organized by observation 
with the first column giving the date as "yyyy.q" and the following 
three columns containing the 10-year and 3-month interest rates and the 
consumer price index, respectively.