Laurent Ferrara and Pierre Guérin, "What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?", Journal of Applied Econometrics, Vol. 33, No. 5, 2018, pp. 662-679. There are three data files in CSV format. They are zipped in the file fg-data.zip. Unix/Linux users should use "unzip -a". The file "Monthly_macroeconomic_data.csv" contains the sixteen monthly macroeconomic variables that are listed in Table 1 of the paper and the two monthly control variables used in section 6.1 of the paper (S&P500 stock index and the effective federal funds rate). The first column of the file indicates the year and month. All series in this file extend from January 1990 to December 2013. Data source and transformation applied to the series are reported in Table 1 of the paper. All series were downloaded from Haver Analytics on November 9, 2016 using the following mnemonics: Coincident indicator ZCOIN@BCI CPI - All items PCUN@USECON Real personal income YPLTPMH@USECON Industrial production IP@USECON Consumer Sentiment CCIN@USECON Payroll employment LE@USECON Unemployment rate LR@USECON Retail sales NRST@USECON ISM - Manufacturing NAPMC@USECON Commercial and Industrial Loans FABWCA@USECON Real Estate Loans FABWRA@USECON Consumer Loans FABWQA@USECON Duration of unemployment (less than 5 weeks) LU0@USECON Duration of unemployment (5 to 14 weeks) LU5@USECON Duration of unemployment (15 to 26 weeks) LU15@USECON Duration of unemployment (27 weeks and over) LUT27@USECON Federal funds rate FFED@USECON S&P 500 SP500@USECON The file "Uncertainty.csv" contains the Economic Policy Uncertainty (EPU) index and VIX at a daily frequency along with dummy variables indicating the end of the week (variable denoted "eow") and end of the month (variable denoted "eom"). The VIX and EPU series were downloaded from Haver Analytics. These time series extends from January 2, 1990 to December 31, 2013. The first column of the file indicates the day, month and year. The file "Quarterly_macroeconomic_data.csv" contains the six quarterly macroeconomic variables that are used in section 6.2 of the paper. The first column of the file indicates the year and quarter. These time series extend from the first quarter of 1990 to the fourth quarter of 2013. The first column of the file indicates the year and quarter. All series were downloaded from Haver Analytics using the following mnemonics: Private Nonresidential Fixed Investment FN@USECON Private Nonresidential Investment: Structures FNS@USECON Private Nonresidential Fixed Investment: Equipment FNE@USECON Private Nonresidential Fixed Investment: Intellectual Property Products FNP@USECON Gross Domestic Product GDP@USECON Personal Consumption Expenditures C@USECON The monthly forecast revision variable used in the paper (see equations 4 and 5 in the paper) is obtained from proprietary data from Consensus Economics and cannot be shared with third parties.