Francisco Ruge-Murcia, "Skewness Risk and Bond Prices", Journal of
Applied Econometrics, Vol. 32, No. 2, 2017, pp. 379-400.

Except for the Fama-Bliss series, the raw data were taken from the
FRED database available from the Web site of the Federal Reserve Bank
of St. Louis (www.stls.frb.org).  The Fama-Bliss series were obtained
from the Center for Research in Security Prices (www.crsp.com).

The code SMM.m reads the raw data and series used in the estimation of
the model.

The data are stored in the following files:

  CNP16OV.txt
  CPIAUCSL.txt
  FAMA.txt
  PCDG.txt
  PCEC.txt
  PCESV.txt
  PCND.txt
  PNFI.txt
  TB3MS.txt
  TB6MS.txt

All data files and SMM.m are ASCII files in DOS format. They are
zipped in the file rm-data.zip. Unix/Linux users should use "unzip -a".

More comprehensive replication material is available on my Web site:

  https://sites.google.com/site/frugemurcia/home/replication-files

Data descriptions:

Title:               Consumer Price Index for All Urban Consumers: All Items
Series ID:           CPIAUCSL
Source:              US. Bureau of Labor Statistics
Release:             Consumer Price Index
Seasonal Adjustment: Seasonally Adjusted
Frequency:           Monthly
Units:               Index 1982-84=100
Date Range:          1947-01-01 to 2015-02-01

Title:               Personal Consumption Expenditures: Nondurable Goods
Series ID:           PCND
Source:              US. Bureau of Economic Analysis
Release:             Gross Domestic Product
Seasonal Adjustment: Seasonally Adjusted Annual Rate
Frequency:           Quarterly
Units:               Billions of Dollars
Date Range:          1947-01-01 to 2014-10-01

Title:               Personal Consumption Expenditures: Services
Series ID:           PCESV
Source:              US. Bureau of Economic Analysis
Release:             Gross Domestic Product
Seasonal Adjustment: Seasonally Adjusted Annual Rate
Frequency:           Quarterly
Units:               Billions of Dollars
Date Range:          1947-01-01 to 2014-10-01

Title:               Personal Consumption Expenditures: Durable Goods
Series ID:           PCDG
Source:              US. Bureau of Economic Analysis
Release:             Gross Domestic Product
Seasonal Adjustment: Seasonally Adjusted Annual Rate
Frequency:           Quarterly
Units:               Billions of Dollars
Date Range:          1947-01-01 to 2014-10-01

Title:               Personal Consumption Expenditures
Series ID:           PCEC
Source:              US. Bureau of Economic Analysis
Release:             Gross Domestic Product
Seasonal Adjustment: Seasonally Adjusted Annual Rate
Frequency:           Quarterly
Units:               Billions of Dollars
Date Range:          1947-01-01 to 2014-10-01

Title:               Private Nonresidential Fixed Investment
Series ID:           PNFI
Source:              US. Bureau of Economic Analysis
Release:             Gross Domestic Product
Seasonal Adjustment: Seasonally Adjusted Annual Rate
Frequency:           Quarterly
Units:               Billions of Dollars
Date Range:          1947-01-01 to 2014-10-01

Title:               Civilian Noninstitutional Population
Series ID:           CNP16OV
Source:              US. Bureau of Labor Statistics
Release:             Employment Situation
Seasonal Adjustment: Not Seasonally Adjusted
Frequency:           Monthly
Units:               Thousands of Persons
Date Range:          1948-01-01 to 2015-03-01
Notes:               Civilian noninstitutional population is defined as
                     persons 16 years of age and older residing in the 50
		     states and the District of Columbia, who are not inmates
		     of institutions (e.g., penal and mental facilities,
		     homes for the aged), and who are not on active duty in
		     the Armed Forces.

Title:               FAMA
Series:              Fama-Bliss Discount Bonds -- Monthly Only
                     The Fama-Bliss Series use only fully taxable,
		     non-callable, non-flower issues. The columns are qdate,
		     yield1, yield2, yield3, yield4 and yield5, where the
                     number denotes the maturity in years.

Title:               3-Month Treasury Bill: Secondary Market Rate
Series ID:           TB3MS
Source:              Board of Governors of the Federal Reserve System (US)
Release:             H.15 Selected Interest Rates
Seasonal Adjustment: Not Seasonally Adjusted
Frequency:           Monthly
Units:               Percent
Date Range:          1934-01-01 to 2015-03-01
Notes:               Averages of Business Days, Discount Basis

Title:               6-Month Treasury Bill: Secondary Market Rate
Series ID:           TB6MS
Source:              Board of Governors of the Federal Reserve System (US)
Release:             H.15 Selected Interest Rates
Seasonal Adjustment: Not Seasonally Adjusted
Frequency:           Monthly
Units:               Percent
Date Range:          1958-12-01 to 2015-03-01
Notes:               Averages of Business Days, Discount Basis