Luciana Juvenal and Ivan Petrella, "Speculation in the Oil Market", 
Journal of Applied Econometrics, Vol. 30, No. 4, 2015, pp. 621-649.

Data are in an ASCII text file called DATA_JP2013.txt, which has tab
delimiters. It is zipped in the file jp-data.zip. Unix/Linux users
should use "unzip -a".

Details on the data (sources, whether seasonally adjusted, coverage
and stationarity transformation) can be found in Appendix A of the
paper.

List of variables: 

Column	Variable						
	OIL AND WORLD VARIABLES						
1	World Oil Production						
2	Aggregate Industrial Production
3	Average World Price of Oil
4	Inventories of Oil (OECD)
5	Oil Price Spot-Future Spread

	COMMODITY PRICES
6	U.K.: Commodity Price: Gold {London} (US$/Troy Ounce)
7	U.S.: Commodity Price: Silver {NY} (US Cts/Troy oz)
8	U.K.: Commodity Price: Copper {London} (US$/MT)
9	Canada: Commodity Price: Aluminum, All origins {London} (US$/MT)
10	Canada: Commodity Price: Nickel {N.European Ports} (US$/MT)
11	Brazil: Commodity Price: Iron Ore {North Sea Ports} (US Cents/DMTU)
12	U.K.: Commodity Price: Zinc {London} (US$/MT)
13	Malaysia: Commodity Price: Rubber {Singapore} (US Cts/lb)
14	Malaysia: Commodity Price: Timber: Hardwood Logs, Sarawak (US$/c met)
15	U.S.: Commodity Price: Cotton {Liverpool Index} (US Cts/Lb)
16	U.S.: Commodity Price: Tobacco {All Markets} (US$/MT)
17	U.K.: Commodity Price: Sunflower Oil {NW European Ports}
        (US$/metric ton) 						
18	Malaysia: Commodity Price: Palm Oil {N.W. Europe} (US$/met ton)
19	World: Commodity Price: Sugar, Caribbean {NY} (US Cts/lb)
20	U.S.: Commodity Price: Soybeans {Rotterdam} (US$/Metric Ton)
21	Argentina: Commodity Prices: Unit Values, Wheat (US$/MT)
22	Thailand: Wholesale Commodity Prices: Rice (US$/met ton)
23	U.S.: Commodity Price: Maize, US #2 Yellow {US Gulf Ports} (US$/MT)
24	Brazil: Commodity Price: Coffee {New York} (US Cts/lb)
25	Ghana: Wholesale Commodity Price: Cacao {NY & London} (US$/MT)
							
	REAL GDP
26	US
27	UK
28	France
29	Germany
30	Italy
31	Canada
32	Japan

	PERSONAL CONSUMPTION (Real)
33	US
34	UK
35	France
36	Germany
37	Italy
38	Canada
39	Japan

	INDUSTRIAL PRODUCTION
40	US
41	UK
42	France
43	Germany
44	Italy
45	Canada
46	Japan

	EMPLOYMENT
47	US
48	UK
49	France
50	Germany
51	Italy
52	Canada
53	Japan

	UNEMPLOYMENT
54	US
55	UK
56	France
57	Germany
58	Italy
59	Canada
60	Japan

	EMPLOYEE EARNINGS
61	US
62	UK
63	France
64	Germany
65	Italy
66	Canada
67	Japan

	CPI
68	US
69	UK
70	France
71	Germany
72	Italy
73	Canada
74	Japan

	PPI
75	US
76	UK
77	France
78	Germany
79	Italy
80	Canada
81	Japan

	OVERNIGHT RATES
82	US
83	UK
84	France
85	Germany
86	Italy
87	Canada
88	Japan

	10-YEAR RATES
89	US
90	UK
91	France
92	Germany
93	Italy
94	Canada
95	Japan

	M1
96	US
97	UK
98	France
99	Germany
100	Italy
101	Canada
102	Japan

	M2
103	US
104	UK
105	France
106	Germany
107	Italy
108	Canada
109	Japan

	TRADE BALANCE
110	US
111	UK
112	France
113	Germany
114	Italy
115	Canada
116	Japan

	STOCK MARKET PRICE INDEX
117	US
118	UK
119	France
120	Germany
121	Italy
122	Canada
123	Japan

	REER
124	US
125	UK
126	France
127	Germany
128	Italy
129	Canada
130	Japan

	FOREIGN EXCHANGE RATE WITH THE DOLLAR
131	UK
132	France
133	Germany
134	Italy
135	Canada
136	Japan

	SPREAD 3m / Overnight rate
137	US
138	UK
139	France
140	Germany
141	Italy
142	Canada
143	Japan

	SPREAD 10y / Overnight rate
144	US
145	UK
146	France
147	Germany
148	Italy
149	Canada
150	Japan

151	INDEX OF GLOBAL ECONOMIC ACTIVITY