Joshua Chan, Liana Jacobi, and Dan Zhu, "An Automated Prior Robustness
Analysis in Bayesian Model Comparison", Journal of Applied
Econometrics, Vol. 37, No. 3, 2022, pp. 583-602.

The first dataset USdata_2019Q4.xlsx is taken from the Federal Reserve
Bank of St. Louis' FRED-QD database and the sample period is
1948:Q1-2019:Q4. The first column of the file contains the dates. The
second to last columns contain the values of GDP deflator, 
unemployment rate, real GDP growth and Fed funds rate, respectively.

The second dataset exchange_rates_2020.xlsx is also taken from the
Federal Reserve Bank of St. Louis. It contains 23 daily foreign
exchange rates relative to US$ 1 from 2015 to 2020. The currencies
are:

AUSTRALIA (AUD)
BRAZIL (BRL)
CANADA (CAD)
CHINA, P.R. (CNY)
DENMARK (DKK)
EMU MEMBERS (EUR)
HONG KONG (HKD)
INDIA (INR)
JAPAN (JPY)
MALAYSIA (MYR)
MEXICO (MXN)
NEW ZEALAND (NZD)
NORWAY (NOK)
SINGAPORE (SGD)
SOUTH AFRICA (ZAR)
SOUTH KOREA (KRW)
SRI LANKA (LKR)
SWEDEN (SEK)
SWITZERLAND (CHF)
TAIWAN (TWD)
THAILAND (THB)
UNITED KINGDOM (GBP)
VENEZUELA (VEF)

Both datasets are zipped in the file cjz-data.zip.