Monica Billio, Roberto Casarin, Francesco Ravazzolo, and Herman K. van
Dijk, "Interconnections between Eurozone and US Booms and Busts Using
a Bayesian Panel Markov-Switching VAR Model", Journal of Applied
Econometrics, Vol. 31, No. 7, 2016, pp. 1352-1370.

This paper considers the U.S. and the six largest economies in the
Eurozone (Belgium, France, Germany, Italy, Netherlands, and Spain). 

For each country, two dependent variables are used in the main text:
the quarterly growth of the Industrial Production Index (IPI) and the
credit spread (CS), i.e. the corporate bond yield spread over the
10-year government interest rate. In the Online Appendix, an
alternative version of the model based on two different dependent
variables is also presented: the quarterly growth of the Industrial
Production Index (IPI) and the term spread (TS), i.e. the 10-year
government interest rate minus the 3-month government interest rate.
All data are sampled at a monthly frequency, from July 1991 to
December 2013, and are seasonally and working-day adjusted.

IPI and TS data are downloaded from Eurostat database and reported in
the files IPI.txt and TS.txt. These files are ASCII files in DOS
format, and they are zipped in the file bcrv-data.zip. Unix/Linux
users should use "unzip -a".

The credit spread data are collected from Global Financial Data,
database GFDATABASE . 

See information in the website:

https://www.globalfinancialdata.com/index.html 

The CS is defined as the difference between credit corporate yields
and bond yields.  GFD has property rights on the data and requires the
user to open an account to work with them. 

We provide below GFD series names and codes to download credit
corporate yields and bond yields if an account is open. 

Credit corporate yields:
Name	Code
Belgium	INBELW+INEURW
France	INFRAM
Germany	INDEUD
Italy	INITAM
NL	INNLDEW+INEURW
Spain	INESPM
US	MOCBAAD

Bond yields:
Name	Code
BG YIELD 10-YEAR GOVERNMENT BONDS (PROXY - 6-YEAR AND OVER) NADJ BGMIR080R
FR YIELD 10-YEAR GOVERNMENT BENCHMARK BONDS NADJ		 FROIR080R
BD YD 10-YR GOVT.BONDS(PROXY-9-10+ YEAR FEDERAL SECURITIES) NADJ BDMIR080R
IT YIELD 10-YEAR GOVERNMENT BENCHMARK SECURITIES NADJ		 ITOIR080R
NL YIELD LATEST 10-YEAR CENTRAL GOVERNMENT BONDS NADJ		 NLOIR080R
ES YIELD 10-YEAR GOVERNMENT BONDS NADJ				 ESOIR080R
US YIELD 10-YEAR FED GVT SECS NADJ				 USOIR080R