Kim, Hyeongwoo, Ippei Fujiwara, Bruce E. Hansen, and Masao Ogaki,
"Purchasing Power Parity and the Taylor Rule," Journal of Applied
Econometrics, Vol. 30, No. 6, 2015, pp. 874-903.
The file kfho-data.zip contains 22 data files. They are all ASCII
files in DOS format. Unix/Linux users should use "unzip -a".
name_of_country.prn files (e.g., australia.prn):
(1) Each file contains actual data obtained from the IFS CD Rom
(2) Each file has a 124 by 5 matrix.
(3) The first column is the national currency price of one US dollar
(4) The second column is the interbank call interest rate (or equivalent one).
(5) The remaining columns are the Consumer Price Index, GDP Deflator, and
the Producer Price Index, respectively.
(6) There are 124 observations (rows) from 1973Q1 to 2003Q3.
(7) For eurozone countries, the first column (exchange rate) contains zero
values starting from 1999.
data_0_6000_78t.txt:
(1) 500 sets of Simulated data
(2) There are 12 simulated variables: i, s, pi, se, is, pis, x, e, pise,
is-1, pis-1, x-1
(3) 0: Zero UIP shock
(4) 78 = small sample number of observations, 500 = large sample number of
observations
(5) t: from t-distribution
data_1_6000_500t.txt:
(1) 500 sets of Simulated data
(2) There are 12 simulated variables: i, s, pi, se, is, pis, x, e, pise,
is-1, pis-1, x-1
(3) 1: With UIP Shock
(4) 78 = small sample number of observations, 500 = large sample number of
observations
(5) t: from t-distribution
data_1_6000_78t.txt:
(1) 500 sets of Simulated data
(2) There are 12 simulated variables: i, s, pi, se, is, pis, x, e, pise,
is-1, pis-1, x-1
(3) 1: With UIP Shock
(4) 78 = small sample number of observations, 500 = large sample number of
observations
(5) t: from t-distribution