Alessio Anzuini, Patrizio Pagano, Massimiliano Pisani, "Macroeconomic
Effects of Precautionary Demand for Oil", Journal of Applied
Econometrics, Vol. 30, No. 6, 2015, pp. 968-986.

The variables used in the VAR analysis are the following, with
Datastream codes (in capitals) or source webpage:

-- Crude Oil-WTI Spot Cushing U$/BBL: CRUDOIL.

-- U.S. Consumer price index - all items (1967=100 ): USCP67..F

-- S&P 500 composite - price index: S&PCOMP(PI)

-- S&P 500 index future cont. call - implied vol.(ATM): ISPC.SERIESC

-- US$ broad exchange rate index: US$CWBN

-- Term spread downloaded from
http://www.federalreserve.gov/econresdata/researchdata/feds200533.html.

-- U.S. Ending Stocks excluding SPR of Crude Oil (Thousand Barrels):
MCESTUS1 downloaded from
http://www.eia.gov/dnav/pet/pet_stoc_wstk_dcu_nus_a.htm.

-- Chicago Fed National Activity Index: downloaded from
http://chicagofed.org/webpages/research/data/cfnai/current_data.cfm on
June 7, 2011. This last variable has been cumulated and rebased so
that 01:1986 = 100.

These data are contained in the file dataset-app.txt.

The other data files are Figure1.txt, Table1-cols-1-3-4.txt,
Table1-col-2.txt, Table1-col-5.txt, and Table2.txt.

All data files are ASCII files in DOS format. They are zipped in the
file app-data.zip. Unix/Linux users should use "unzip -a".

*****

Table 1
daily data
dF1=delta futures price 1-month maturity
dF2=delta futures price 2-month maturity
dF3=delta futures price 3-month maturity
dspread12= - delta spread spot/futures price 12-month
dspread9= - delta spread spot/futures price 9-month


Table2
monthly data
spot
F1=futures price 1-month maturity
F2=futures price 2-month maturity
...
...
F6=futures price 6-month maturity

Sources with Datastream codes (in capitals):
spot=Crude Oil-WTI Spot Cushing U$/BBL: CRUDOIL
futures=Crude oil futures prices U$/BBL: NCL[expiration date].