Stephane Dees, Filippo di Mauro, M. Hashem Pesaran, and L. Vanessa Smith,
"Exploring the International Linkages of the Euro Area: A Global VAR 
Analysis", Journal of Applied Econometrics, Vol. 22, No. 1, 2007, pp. 1-38.

In what follows, the paper is referred to as DdPS.

This directory contains the following files:

DdPS-suppA.pdf: Supplement A to DdPS.
DdPS-suppB.pdf: Supplement B to DdPS.
data26.zip: Data files for 26 countries.
data33.zip: Data files for 33 countries.
gvar.zip: This file contains a large number of program and related
              files, including its own readme file.

*****************************************************************************
Note: The following datasets are not to be used with the gvar program. The 
      data files required for the gvar program to run are included in the 
      gvar.zip file, arranged in the appropriate manner. Further details 
      can be found in the readme file contained in gvar.zip. 
*****************************************************************************

The files data33.zip and data26.zip each contain one Excel spreadsheet file
and either 33 or 26 ASCII text (CSV) files in DOS format. The spreadsheet
and the text files contain the same data.

The data used in this paper have been complied by the European Central Bank.
NA refers to data not available. Details of the data sources can be found in
Supplement A (Data&Bootstrap) of DdPS. The empirical analysis is based on
quarterly data over the period 1979Q1-2003Q4. 

 i.  The 33 CSV files in data33.zip contain data for the 33 countries used
     in the analysis. Each file contains the raw quarterly data for the following
     variables using the ordering as appears in the files: 

     Y                 : Real output
     CPI               : Consumer price index
     EQ                : Nominal Equity Price Index
     E                 : Exchange rate of country i at time t expressed
                         in US dollars
     R_{superscript_S} : Short rate of interest per annum, in per cent
                         (typically a three month rate) 
     R_{superscript_L} : Long rate of interest per annum, in per cent 
                         (typically a ten year rate) 
     POIL              : Nominal price of oil


 ii. The 26 CSV files in data26.zip contain data for the 26 countries (25 
     countries plus the Euro Area which comprises of 8 countries). Each file
     contains the logs of the quarterly data after seasonal
     adjustment,interpolation and normalisation for the following variables
     using the ordering as appears in the files: 


      y       : Real Output
      Dp      : Inflation
      q       : Real Equity Price
      epepsus : Real Exchange Rate expressed viz a viz the US (epepsus = ep+pus)
      epeps   : Effective Exchange Rate (epeps=ep-eps)
      r       : Short-Term Interest Rate
      lr      : Long-Term Interest Rate

      ys      : Foreign Real Output
      Dps     : Foreign Inflation
      qs      : Foreign Real Equity Price
      rs      : Foreign Short-Term Interest Rate
      lrs     : Foreign Long-Term Interest Rate
      rpoil   : Real Price of Oil
      poil    : Price of Oil      
      p       : Price Level
      ps      : Foreign Price Level
      e       : Nominal Exchange Rate in terms of US dollars
      es      : Foreign Nominal Exchange Rate
      ep      : Real Excxange Rate (ep=e-p)
      eps     : Foreign Real Exchange Rate (eps=es-ps) 
      pus     : US Price Level 

    
     where where the foreign (star) variables are constructed as trade weighted
     averages over 1999-2001.
 
     The same datasets, organised in excel workbooks, are also provided for
     convenience:

     a. The excel workbook data33.xls contains 33 worksheets for the 33
        countries used in the analysis. Each sheet contains the raw quarterly
        data for the variables in the order listed above.

     b. The excel workbook data26.xls contains 26 worksheets for the 26
        countries (25 countries plus the Euro Area, which comprises 8
        countries). Each sheet contains the logs of the quarterly data after
        seasonal adjustment, interpolation and normalisation for the variables
        in the order listed above.

   Notes on Construction of the Euro area

   The time series data for the euro area was constructed by cross section
   weighted averages of the variables, over Germany, France, Italy, Spain,
   Netherlands, Belgium, Austria and Finland, using the average Purchasing
   Power Parity GDP weights over the 1999-2001 period.  

   The real equity price index for Germany was constructed using the price
   index with base year (1995). 

   The price index for Germany was subsequently rebased to match the base 
   year (2000) of the rest of the countries.    

   For the construction of the euro area exchange rate, each of the country
   members' exchange rate was converted to an index using 2000 as the base
   year and premultiplied by the euro/dollar rate of that year.
   

L. Vanessa Smith
lvs21 [AT] cam.ac.uk