Matthew Greenwood-Nimmo, Viet Hoang Nguyen, and Yongcheol Shin, "Probabilistic Forecasting of Output Growth, Inflation and the Balance of Trade in a GVAR Framework", Journal of Applied Econometrics, Vol. 27, no. 4, 2012, pp. 554-573. There are 26 separate data files, all of them ASCII files in DOS format, for data sets of 26 countries/regions used in the above paper, each with 117 quarterly observations (from 1980Q2 to 2009Q2). They are all zipped in the file GNS-data.zip. Detailed descriptions of the data in each file are found in the following table: File : No. of Columns : Column Description ----------------:----------------:------------------------------------------------------------- 1 USA : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 2 Eurozone : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 3 Japan : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 4 UK : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 5 Norway : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 6 Sweden : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 7 Switzerland : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 8 Canada : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 9 Australia : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 10 New Zealand : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 11 SAfrica : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 12 Argentina : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 13 Brazil : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 14 Chile : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 15 Mexico : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 16 India : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 17 Korea : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 18 Malaysia : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 19 Philippines : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 20 Singapore : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 21 Thailand : (16) : time, y, p, dp, q, e, r, ex, im, po, rs, qs, dps, ys, es, ps 22 China : (15) : time, y, p, dp, e, r, ex, im, po, rs, qs, dps, ys, es, ps 23 Indonesia : (15) : time, y, p, dp, e, r, ex, im, po, rs, qs, dps, ys, es, ps 24 Peru : (15) : time, y, p, dp, e, r, ex, im, po, rs, qs, dps, ys, es, ps 25 Turkey : (15) : time, y, p, dp, e, r, ex, im, po, rs, qs, dps, ys, es, ps 26 Saudi Arabia : (14) : time, y, p, dp, e, ex, im, po, rs, qs, dps, ys, es, ps where: ----------------------------------------------------------- * time * y : log real output * p : log CPI * dp : inflation * q : log real stock price index * e : log nominal exchange rate (local currency/$) * r : log short-term domestic interest rate * ex : log real export * im : log real import * po : log oil price, UK Brent * rs : log short-term foreign interest rate * qs : log foreign stock price index * dps : foreign inflation * ys : log foreign real output * es : log foreign nominal exchange rate * ps : log foreign CPI ----------------------------------------------------------- * All the foreign variables are constructed as the trade-weight based averages. For detailed construction of data series, see the paper and its accompanied the Technical Annex. ---------------------------- --- Trade-Weight matrix ---- ---------------------------- Trade-weight matrix is provided in "Trade-Weight.text" file. Trade weights are calculated as the averaged trade shares (import+export) over 3 years (1999-2001) of country j with country i, with i,j = 1,...,26. The trade-weight matrix is also used to create the LINK-matrix in the paper. Data for trade-weights were collected from Economic and Social Data Service - International (ESDS International). -------------------- --- Data Source ---- -------------------- Most the data series are collected from ESDS International. Specifically: 1. Real GDP: ------------ Real GDP series for 33 countries were taken from the IMF's International Financial Statistics (IFS), Series 90BVRZF (Index, 2005 = 100). When unavailable, the IFS series were completed from other sources. Datastream was used to complete the Singaporean series and OECD data were used for Brazil, India and the UK. The missing data for the Philippines between 2006Q4 and 2007Q2 was extrapolated using the official growth rates from the National Statistics Coordination Board. When data was unavailable at the quarterly frequency, the annual series were interpolated following the method in DdPS (Supplement A). This technique was employed for China and Saudi Arabia over the full sample period, for Argentina from 1980-1989, for Brazil from 1980-1990, for India from 1980-1996, for Indonesia from 1980-1982, for Malaysia from 1980-1987, for the Philippines from 1980-1989, for Thailand from 1980-1992, and for Turkey from 1980-1986. Where necessary, the data were seasonally adjusted using the US Census Bureau's X12 routine. 2. Consumer Price Index: ------------------------ CPI data were collected from IFS Series 64.ZF (Index, 2005 = 100). CPI data for China (1987Q1-2007Q2, seasonally adjusted) and Germany (1980Q1-2007Q2) was provided by the Bank of Korea. Chinese CPI data was then augmented with IFS Series 64.XZF. Finnish CPI data was sourced from IFS Series 63EY.ZF. 3. Nominal Exchange Rate: ------------------------- Nominal exchange rates were collected from IFS Series, RF.ZF, measured in units of national currency per US$. The Eurozone series are the ECU-EURO/USD rate collected from the OECD's Main Economic Indicators. 4. Short-term Interest Rate: ---------------------------- Short-term interest rate series measured in percent per annum were taken from IFS Series 60B..ZF (money market - interbank - rate) for 16 countries. IFS Series 60L..ZF (deposit rate) was used for Argentina, Chile, China and Turkey. For Sweden, IFS Series 60B..ZF was augmented with IFS Series 60A..ZF from 2004q4. IFS Series 60C..ZF (treasury bill rate) was used for Mexico. IFS Series 60...ZF (discount rate) was used for New Zealand and Peru. For India, the series over 1998q2-2006q2 were retrieved from the Reserve Bank of India. For Norway, the NIBOR 3-month rates from the OECD were used. Finland, Germany, Italy, and Spain have their own interest rate series over the full sample period whilst for Austria, Belgium, France, and Netherlands, IFS Series 60A..ZF ended at 1998q4 and were then augmented with overnight Euro interbank rates. 5. Export and Import: -------------------------- IFS Series 70..DZF (exports) and IFS Series 71..DZF (import) measured in millions of US\$, were available for 33 countries. Where necessary, the data were extrapolated backward using export and import growth rates obtained from the World Bank. This technique was applied for Belgium over 1980-1992 and for China in 1980. The quarterly series for Saudi Arabia were interpolated from annual data. All the series were then seasonally adjusted using the US Census Bureau's X12 routine. 6. Equity Price Index: ---------------------- Equity price indices were collected as IFS Series 62...ZF (industrial share prices index) for 30 countries. The series for the UK, Switzerland and Mexico were collected from the OECD's Main Economic Indicators. For Argentina, Singapore and Thailand, the IFS series were augmented with data collected from Datastream. 7. Oil Price: ------------- The UK Brent series, measured in US\$ per barrel, was retrieved from the IMF Commodity Price database. ----- Viet Hoang Nguyen Leeds University Business School bus5vhn [AT] leeds.ac.uk