Joonyoung Hur, "Monetary Policy and Asset Prices: A Markov-Switching 
DSGE Approach", Journal of Applied Econometrics, Vol. 32, No. 5, 2017, 
pp. 965-982.

This directory contains an online appendix, hur-appendix.pdf, and the
dataset it uses.

The file hur-data.txt contains data from 1984Q1 to 2009Q2. There are 5
series (columns) in the order of output growth, investment growth,
inflation rate, nominal interest rate, and value of stock market
growth.

Data sources and the data transformation process are described in
Section 2 of the Online Appendix.

The data file hur-data.txt is an ASCII file in DOS format. It is zipped
in the file hur-data.zip. Unix/Linux users should use "unzip -a".