Giovanni Caggiano, Efrem Castelnuovo, and Gabriela Nodari, 
"Uncertainty and Monetary Policy in Good and Bad Times: A Replication
of the VAR Investigation by Bloom (2009)", Journal of Applied
Econometrics, Vol. 37, No. 1, 2022, pp. 210-217.

All data are stored in the file ccn-data.txt, an ASCII file in DOS
format which is zipped in the file ccn-data.zip. Unix/Linux users
should use "unzip -a".

The dataset provides an updated version of the dataset used in Bloom's
(2009) Econometrica paper. The updated dataset spans the 1962M7-2020M2
period, for a total of 692 observations. The dataset comprises eight
monthly data series, which are, from left to right in the database:

Industrial production level;

Employment level;

Hours worked;

Consumer Price index;

Wages;

Federal Funds Rate;

Shadow rate as in Wu and Xia's (2016) JMCB paper;

S&P500 index;

VXO (from 1986 - before that, financial volatility, which is spliced with
    VXO as in Bloom (2009) Econometrica);

HP-filtered VXO (to construct the 0/1 dummy to identify the effects of
    the financial volatility jumps as in Bloom (2009) Econometrica);

0/1 dummy (constructed as in Bloom (2009) Econometrica).

All variables indicated above are defined as in Bloom (2009)
Econometrica. The main source of the data is the Federal Reserve Bank
of St. Louis' FredII database, i.e., https://fred.stlouisfed.org/

The shadow rate was downloaded from Cynthia Wu's webpage at
https://sites.google.com/view/jingcynthiawu/shadow-rates?authuser=0 .

The S&P500 index was downloaded from Yahoo!finance at
https://finance.yahoo.com/quote/%5EGSPC/history?p=%5EGSPC .

The Matlab codes we used to process our dataset are available to
interested researchers. Please write an email to Gabriela Nodari
(gabrielanodari [AT] gmail.com) to recover them.