Woon Gyu Choi, "Estimating the Discount Rate Policy Reaction Function of the
Monetary Authority", Journal of Applied Econometrics, Vol. 14, No. 4,
1999, pp. 379-401.

The monthly US data cover the period 1970.01 - 1995.03. There are four data
files, data1.wgc - data4.wgc. Each file is an ASCII file in DOS format. All
these files are zipped in the file wgc-data.zip.

The first column of each file contains the date (year.month), and other
columns contain monthly time series (303 observations for each variable). 
All data are taken from CITIBASE or the database of the Federal Reserve 
Bank of St. Louis unless indicated otherwise in parentheses.

data1.wgc : date, rde, rda, un, ip, ffr, m1, m2
data2.wgc : date, cpi, tb, fsg, ffrf
data3.wgc : date, na_un, ip_star, t_mig, t_m2g, t_ffre, t_ffra, ffr_tx
data4.wgc : date, hp_m1g, hp_m2g, bp_m1g, bp_m2g

Brief descriptions of these series are as follow.
     rde    : official discount rate as the last day rate, %;
     rda    : official discount rate as an average of daily rates, %;
     un     : actual unemployment rate, %;
     ip     : industrial production index, '87=100;
     ffr    : Federal funds rate, %;
     cpi    : consumer price index, 82-84=100;
     tb     ; trade balance (IFS), SA; 
     fsg    : real actual Federal surplus-real natural Federal surplus, 
              -92:06 (Gordon 1993);
     ffrf   : predicted Federal funds rate computed from a rolling VAR;
     na_un  : natural unemployment rate (Gordon 1993);
     ip_star: industrial production trend calculated as the geometric
              interpolation of benchmark dates 70:06, 79:09, 87:09,
              90:12;
     t_m1g  : Fed's M1 growth target, % (Hakes and Gamber 1992);
     t_m2g  : Fed's M2 growth target, % (Hakes and Gamber 1992);
     t_ffre : Federal funds rate target as the last day rate
                (G. Sellon and A. Orphanides);
     t_ffra : Federal funds rate target as an average of daily rates
                (G. Sellon and A. Orphanides);
     ffr_tx : Federal funds rate target set prior to the discount rate
              announcement  (G. Sellon and A. Orphanides);   
     hp_m1g : Hodrick-Prescott filtered M1 growth rate;
     hp_m2g : Hodrick-Prescott filtered M2 growth rate;
     bp_m1g : band-pass filtered M1 growth rate;
     bp_m2g : band-pass filtered M2 growth rate

Further notes for defining the variables used in estimation:
      IP-bar   = 100*(ip[-1]-ip_star[-1])/ip_star[-1];
      U -bar   = un[-1]-na_u[-1];
      PHI-bar  = 100*(cpi[-1]-cpi[-13])/cpi[-13] - 2;
      ZRD      = rde[-1] (or rda[-1]) -ffr_tx;
      M1GAP    = 100*(m1[-1]/m1[-13]-1)-t_m1g[-1];
      M2GAP    = 100*(m2[-1]/m2[-13]-1)-t_m2g[-1];
      BOP-bar  = bpr[-1]-bpr[-13] with bpr=1200*tb/(1000*cpi*ip);
      FSG-bar  = (fsg[-1]-fsg[-4])/ip[-1]


Woon Gyu Choi
Hong Kong University of Science & Technology
wgchoi <wgchoi@usthk.ust.hk>