Tatjana Dahlhaus, "Conventional Monetary Policy Transmission during Financial Crises: An Empirical Analysis", Journal of Applied Econometrics, Vol. 32, No. 2, 2017, pp. 401-421. The paper uses two datasets: 1) FCIs.txt 2) data-td.txt These are both ASCII text files in DOS format. They are zipped in the file data-td.zip. Unix/Linux users should use "unzip -a". 1) The financial conditions indices used as the transition variable are contained in FCIs.txt. The paper uses the series FSI_purged which is taken from Hatzius et al. (2010). The robustness analysis performed in the online appendix uses the unpurged version of the Hatzius et al. (2010) index (FSI_unpurged) and the Federal Reserve Bank of Chicago National Financial Conditions Index (NFCI). The indices taken from Hatzius et al. (2010) cover the period 1970Q2-2008Q3 since the model requires them to enter in lagged terms. The NFCI covers the period 1973Q1-2008Q3. 2) The data set consists of 108 U.S. quarterly series (108 columns). The series are listed below and in Table 1 of the online appendix and are mostly obtained from the Federal Reserve Economic Data. Some financial variables are obtained from International Financial Statistics and the flow of funds account provided by the Federal Reserve Board of Governors. All data were adjusted for outliers and are transformed to reach stationarity. A list of transformations applied to the variables is given below and in Table 1 of the online appendix. The stationary data cover the period from 1970Q3-2008Q4 (154 observations, rows) and are provided in the file Data.txt. Series Mnemonic Description Transformation ------------------------------------------- 1 GDPC1 Real Gross Domestic Product 5 2 GDPDEF Gross Domestic Product: Implicit Price Deflator 6 3 CPIAUCSL Consumer Price Index For All Urban Consumers: All Items 6 4 FEDFUNDS Effective Federal Funds Rate 2 5 GNPC96 Real Gross National Product 5 6 NICUR/GDPDEF National Income/GDPDEF 5 7 DPIC96 Real Disposable Personal Income 5 8 OUTNFB Nonfarm Business Sector: Output 5 9 FINSLC1 Real Final Sales of Domestic Product 5 10 FPIC1 Real Private Fixed Investment 5 11 PRFIC1 Real Private Residential Fixed Investment 5 12 PNFIC1 Real Private Nonresidential Fixed Investment 5 13 GPDIC1 Real Gross Private Domestic Investment 5 14 PCECC96 Real Personal Consumption Expenditures 5 15 PCNDGC96 Real Personal Consumption Expenditures: Nondurable Goods 5 16 PCDGCC96 Real Personal Consumption Expenditures: Durable Goods 5 17 PCESVC96 Real Personal Consumption Expenditures: Services 5 18 GPSAVE/GDPDEF Gross Private Saving/GDP Deflator 5 19 FGCEC1 Real Federal Consumption Expenditures & Gross Investment 5 20 FGEXPND/GDPDEF Federal Government: Current Expenditures/GDP deflator 5 21 FGRECPT/GDPDEF Federal Government Current Receipts/GDP deflator 5 22 FGDEF Federal Real Expend-Real Receipts 2 23 CBIC1 Real Change in Private Inventories 1 24 EXPGSC1 Real Exports of Goods & Services 5 25 IMPGSC1 Real Imports of Goods & Services 5 26 CP/GDPDEF Corporate Profits After Tax/GDP deflator 5 27 NFCPATAX/GDPDEF Nonfinancial Corporate Business: Profits After Tax/GDP deflator 5 28 CNCF/GDPDEF Corporate Net Cash Flow/GDP deflator 5 29 DIVIDEND/GDPDEF Net Corporate Dividends/GDP deflator 5 30 HOANBS Nonfarm Business Sector: Hours of All Persons 5 31 OPHNFB Nonfarm Business Sector: Output Per Hour of All Persons 5 32 UNLPNBS Nonfarm Business Sector: Unit Nonlabor Payments 5 33 ULCNFB Nonfarm Business Sector: Unit Labor Cost 5 34 WASCUR/CPI Compensation of Employees: Wages & Salary Accruals/CPI 5 35 COMPNFB Nonfarm Business Sector: Compensation Per Hour 6 36 COMPRNFB Nonfarm Business Sector: Real Compensation Per Hour 5 37 GDPCTPI Gross Domestic Product: Chain-type Price Index 6 38 GNPCTPI Gross National Product: Chain-type Price Index 6 39 GNPDEF Gross National Product: Implicit Price Deflator 6 40 INDPRO Industrial Production Index 5 41 IPBUSEQ Industrial Production: Business Equipment 5 42 IPCONGD Industrial Production: Consumer Goods 5 43 IPDCONGD Industrial Production: Durable Consumer Goods 5 44 IPFINAL Industrial Production: Final Products (Market Group) 5 45 IPMAT Industrial Production: Materials 5 46 IPNCONGD Industrial Production: Nondurable Consumer Goods 5 47 AWHMAN Average Weekly Hours: Manufacturing 2 48 AWOTMAN Average Weekly Hours: Overtime: Manufacturing 2 49 CIVPART Civilian Participation Rate 2 50 CLF16OV Civilian Labor Force 5 51 CE16OV Civilian Employment 5 52 USPRIV All Employees: Total Private Industries 5 53 USGOOD All Employees: Goods-Producing Industries 5 54 SRVPRD All Employees: Service-Providing Industries 5 55 UNEMPLOY Unemployed 5 56 UEMPMEAN Average (Mean) Duration of Unemployment 5 57 UNRATE Civilian Unemployment Rate 2 58 HOUST Housing Starts: Total: New Privately Owned Housing Units Started 5 59 M1SL M1 Money Stock 6 60 M2MSL M2 Minus 6 61 M2SL M2 Money Stock 6 62 BUSLOANS Commercial and Industrial Loans at All Commercial Banks 6 63 CONSUMER Consumer (Individual) Loans at All Commercial Banks 6 64 LOANINV Total Loans and Investments at All Commercial Banks 6 65 REALLN Real Estate Loans at All Commercial Banks 6 66 TOTALSL Total Consumer Credit Outstanding 6 67 CPIULFSL Consumer Price Index for All Urban Consumers: All Items Less Food 6 68 CPILEGSL Consumer Price Index for All Urban Consumers: All Items Less Energy 6 69 CPILFESL Consumer Price Index for All Urban Consumers: All Items Less Food & Energy 6 70 CPIENGSL Consumer Price Index for All Urban Consumers: Energy 6 71 CPIUFDSL Consumer Price Index for All Urban Consumers: Food 6 72 PPICPE Producer Price Index Finished Goods: Capital Equipment 6 73 PPICRM Producer Price Index: Crude Materials for Further Processing 6 74 PPIFCG Producer Price Index: Finished Consumer Goods 6 75 PPIFGS Producer Price Index: Finished Goods 6 76 OILPRICE Spot Oil Price: West Texas Intermediate 6 77 USNEDG US Manufacturers new Orders of durable Goods 5 78 USNOCG US New Orders of Consumer Goods & Materials 5 79 NAPMNOI US ISM Manufacturer Survey: New Orders Index 1 80 USCYLEAD US the Conference Board Leading Economic Indicators Index 5 81 GEXPND/GDPDEF Government Current Expenditures/ GDP deflator 5 82 GRECPT/GDPDEF Government Current Receipts/ GDP deflator 5 83 GDEF Governnent Real Expend-Real Receipts 2 84 GCEC1 Real Government Consumption Expenditures & Gross Investment 5 85 TB3MS 3-Month Treasury Bill: Secondary Market Rate 2 86 TB6MS 6-Month Treasury Bill: Secondary Market Rate 2 87 GS1 1-Year Treasury Constant Maturity Rate 2 88 GS10 10-Year Treasury Constant Maturity Rate 2 89 AAA Moody?s Seasoned Aaa Corporate Bond Yield 2 90 BAA Moody?s Seasoned Baa Corporate Bond Yield 2 91 MPRIME Bank Prime Loan Rate 2 92 GS10-FEDFUNDS 1 93 GS1-FEDFUNDS 1 94 BAA-AAA Default Rate Spread 1 95 MPRIME-TB3MS External Finance Premium 1 96 MPRIME-TB6MS Bank Prime Loan Rate minus 6-Month Treasury Bill 1 97 US500STK US Standard & Poor?s Index of 500 common Stocks 5 98 USSHRPRCF US Dow Jones Industrial Share Price Index 5 99 N/A Realized Volatility of S&P 500 Index 1 100 LIBOR3M 3-Month US Deposit London Offer 2 101 LIBOR6M 6-Month US Deposit London Offer 2 102 LIBOR3M-FEDFUNDS 1 103 LIBOR3M-TB3M TED spread 1 104 NYSE US NYSE Composite Index 5 105 N/A Realized Volatility of NYSE Index 1 106 EXCRESNS Excess Reserves of Depository Institutions 5 107 ADJRESSL Adjusted Monetary Base 5 108 N/A Real Net Taxes 5