Rene Garcia and Richard Luger, "Risk Aversion, Intertemporal 
Substitution, and the Term Structure of Interest Rates", Journal of 
Applied Econometrics, Vol. 27, No. 6, 2012, pp. 1013-1036.

This paper uses quarterly data on U.S. nominal interest rates, equities, 
inflation, and real consumption. Real aggregate consumption is based on 
personal consumption expenditures on non-durables and services from the 
Bureau of Economic Analysis. Per capita consumption was obtained by 
dividing the real aggregate consumption by the total population. The 
level of the market portfolio is proxied by a value-weighted index of 
stocks, including dividends, traded on the NYSE, AMEX, and NASDAQ 
markets obtained from the Center for Research in Security Prices (CRSP). 
For inflation, we use data on the consumer price index (CPI) obtained 
from the Federal Reserve Bank of St. Louis. The level data on real per 
capita consumption, the stock market index, and the CPI were aggregated 
up to the quarterly frequency by averaging the monthly observations. The 
return on the market portfolio, the rate of inflation, and the growth 
rate of consumption were then defined as the changes in the (log) values 
of the corresponding level data. The bond data is a set of monthly 
zero-coupon yields obtained from CRSP. The monthly yields were averaged 
to obtain quarterly yields on bonds with maturities of 1, 2, 4, 8, 12, 
16, and 20 quarters.

The resulting quarterly data set comprises 182 observations of each 
variable from 1959Q3 to 2004Q4. These data are organized in four data 
files, which are plain ASCII (text) files in DOS format, each one with 
182 lines.

i) Qconsumption.txt contains the consumption growth rate series.

ii) Qinflation.txt contains the inflation rate series.

iii) Qmarketreturn.txt contains the stock market return series.

iv) Qbonds.txt contains the seven bond yield series. That file has 7
columns, corresponding to bond maturities of 1, 2, 4, 8, 12, 16, and 20
quarters, respectively.

All four files are zipped in the file gl-data.zip. Unix/Linux users 
should use "unzip -a".