Esteban Prieto, Sandra Eickmeier, and Massimiliano Marcellino, "Time
Variation in Macro-Financial Linkages", Journal of Applied
Econometrics, Vol. 31, No. 7, 2016, pp. pp. 1215-1233.

The data used in the paper are available in the file pem-data.txt (an
ASCII file in DOS format), which is zipped in the file pem-data.zip.
Unix/Linux users should use "unzip -a".

The file contains the following variables

-- Real GDP in levels: GDP

-- The GDP Deflator (Chain-type) in levels: Deflator

-- Real House Price Index in levels: House Price

-- Moody's Aaa Corporate Bond yield: Moody's Aaa

-- Moody's Baa Corporate Bond yield: Moody's Baa

-- nominal S&P 500 Composite price index  in levels: S&P 500

-- Effective federal funds rate: Federal Funds Rate

-- Chicago Fed's National Financial Conditions Index (NFCI): Chicago
   Fed Financial Conditions Index

The first column is a "Date" variable.

The data used in the paper are quarterly and span the period 1957Q4 to
2012Q2, except for the Chicago Fed's NFCI which starts only in 1973Q1.

For the empirical analysis we transform all variables in levels to
quarterly growth rates by computing log first differences. We also
transform the nominal S&P 500 composite price index to real values by
dividing it by the GDP deflator.