Haroon Mumtaz and Paolo Surico, "Time-Varying Yield Curve Dynamics and
Monetary Policy", Journal of Applied Econometrics, Vol. 24, No. 6, 2009, 
pp. 895-913.

The dataset is monthly and runs from Jan 1970 to Dec 2000. It is provided in
a "tab-delimited" text file called ms-data.txt. This ASCII file is in DOS
format. It is zipped in the file ms-data.zip. Unix/Linux users should use
"unzip -a".

Two types of variables are included in the data file: (a) Macroeconomic
Variables and (b) Government Bond Yields. These are described below:

Macroeconomic data

The first column has dates The second, third, and fourth columns of the
dataset contain (1) Growth rate of Industrial production, (2) monthly
inflation and (3) the Federal Funds rate. These are obtained from the FRED
Database (http://research.stlouisfed.org/fred2/)

Yield Curve data

The rest of the columns of the dataset contain U.S. Treasury yields with
maturities of 1,3, 6, 9, 12, 15, 18, 21,24, 30, 36, 48, 60, 72, 84, 96, 108,
and 120 months. The yields are derived from bid/ask average price quotes
using the unsmoothed Fama and Bliss (1987) approach. These data were first
used in Diebold, Rudebusch and Aruoba (2006) (and kindly provided to us for
this study by the authors) and more details on data construction can be
found in that paper.

Contact: haroon.mumtaz [AT] bankofengland.co.uk

References
Diebold, F.X., G.D. Rudebusch and S.B. Aruoba, 2006, The Macroeconomy and
the Yield curve: a dynamic latent factor approach, Journal of Econometrics
131, 309-338.

Fama, Eugene F and Robert R Bliss, 1987, The Information in Long-Maturity
Forward Rates, American Economic Review 77(4), 680-92.