Lutz Kilian and Xiaoqing Zhou, "Does Drawing Down the U.S. Strategic Petroleum Reserve Help Stabilize Oil Prices?", Journal of Applied Econometrics, Vol. 35, No. 6, 2020, pp. 673-691. The ASCII file kz-data.txt contains the data used in the VAR model in 515 x 5 column matrix format in the order: 1. Change in SPR crude oil inventories 2. Growth rate of world oil production 3. Kilian index of global real economic activity (business cycle index) 4. Log real price of oil 5. Change in global crude oil inventories The data are monthly and cover 1975.10-2018.9. Variables 2-5 are constructed as described in Kilian and Murphy (JAE 2014) and Zhou (JAE 2020). The file kz-data.txt, which is in DOS format, is zipped in kz-data.zip. Unix/Linux users should use "unzip -a". Data sources: The Kilian index was downloaded from https://sites.google.com/site/lkilian2019/research/data-sets (see Kilian AER 2009, EL 2019). The CPI data for all urban consumers, seasonally adjusted, are from FRED. The data for global oil production, the U.S. refiner acquisition cost for imported crude oil, SPR crude oil inventories, and U.S. and OECD oil and petroleum inventories are from the U.S. EIA Monthly Energy Review.