Andrea Carriero, Sarah Mouabbi and Elisabetta Vangelista, "UK Term
Structure Decompositions at the Zero Lower Bound", Journal of Applied
Econometrics, Vol. 33, No. 5, 2018, pp. 643-661.

The data used in this article are the property of the UK Debt
Management Office and are not publicly available. Enquiries concerning
data access should be directed to the UK Debt Management Office:

  UK Debt Management Office
  Eastcheap Court 
  11 Philpot Lane EC3M 8UD
  London United Kingdom.

We consider a data set combining nominal and real zero-coupon bond
yields for the UK, stemming from conventional and index-linked gilts,
respectively. Specifically, the data consist of
continuously-compounded monthly nominal and real yields spanning from
October 1986 to August 2014 and includes a set of seven maturities for
nominal yields, namely, 6, 12, 24, 36, 60, 84 and 120 months, and an
additional set of six maturities for real yields: 60, 72, 84, 96, 108
and 120 months.