Fabio Canova, "The Transmission of US Shocks to Latin Data", Journal of
Applied Econometrics, Vol. 20, No. 2, 2005, pp. 229-251. 

There are three data files. They are all ASCII files in DOS format, and they
are zipped in the file fc-data.zip. Unix user should use "unzip -a".

The data file latina.txt collects macroeconomic data for 8 Central American 
and South American countries.

The sample goes from 1990:1 to 2002:2 for all series. Missing data are shown
by NA.

The series listed are (in order):

Mexico:
industrial production (mxip) gdp (mxgdp) nominal exchange rate (mxnee) real
exchange rate (mxree) nominal interest rate (mxr) export (mxex) imports
(mxim) money (mxm) CPI (mxcpi) terms of trade (mextot) reserves (mxres)

Argentina
industrial production (arip) gdp(argdp) nominal exchange rate (arnee) real
exchange rate (arree) nominal interest rate (arr) export (arex) import
(arim) money (arm) cpi (arcpi) terms of trade (agtot) reserves (arres)

Ecuador
gdp(ecgdps) nominal exchange rate (ecnee) real exchange rate (ecree) nominal
interest rate (ecr) export (ecex) import (ecim) money (ecm) cpi(eccpi) terms
of trade (ecutot) reserves (ecres)

Uruguay
industrial production (urip) nominal exchange rate (urnee) real exchange
rate(urree) nominal interest rate(urr) export (urex) import (urim) money
(urm) cpi (urcpi) reserves (urres)

Peru
industrial production (peip) gdp (pegdp) nominale exchange rate (penee) real
exchange rate (peree) nominal interest rate (per) export (peex) import
(peim) money (pem) cpi (pecpi) terms of trade (pertot) reserves (peres)

Brazil
industrial production (brip) gdp (brgdp) nominal exchange rate (bre) real
exchange rate (brree) nominal interest rate(brr) export (brex) import (brim)
money (brm) cpi (brcpi) reserves (brres)

Chile
industrial production (chip) nominal exchange rate (chnee) real exchange
rate (chree) nominal interest rate(chr) export (chex) import (chim) money
(chm) cpi (chcpi) reserves (chres )

Panama
industrial production (paip) nominal interest rate (par) export (paex)
import (paim) money (pam) cpi (pacpi) reserves (pares)

The data file intprice.txt contains data for the emerging market bond index
(EMBI) commodity price index (comprice) and the emerging market equity
index (emequity). The sample goes from 1990:1 to 2002:2 for all series.

The file usdata.txt contains data for the United States from 1974:1 to
2002:4. The variables listed are M1 (usm1), federal funds rate (usff), long
term rate (uslong), cpi (uscpi), industrial production (ip).