Hans Dewachter, Leonardo Iania, and Marco Lyrio, "Information in the Yield Curve: A Macro-Finance Approach", Journal of Applied Econometrics, Vol. 29, No. 1, 2014, pp. 42-64. There are two versions of the dataset. The file data-dil.txt is an ASCII file in DOS format, and the file dil-data.xlsx is an Excel version. The dataset consists of 196 quarterly observations for the period 1960:Q1-2008:Q4. The ASCII file data-dil.txt is zipped in the file data-dil.zip. Since it is in DOS format, Unix/Linux users should use "unzip -a". The Excel file dil-data.xlsx is not zipped. The structure of the data is the following: Macroeconomic data: 1) the annualized growth of potential output based on the quarterly growth of the potential provided by the Congressional Budget Office (CBO); 2) the annualized inflation based on the quarterly growth of the GDP deflator; 3) the output gap constructed from data provided by the Congressional Budget Office (CBO); 4) The central bank policy rate represented by the effective federal funds rate. All macroeconomic data are available at: http://research.stlouisfed.org/fred2/ Yield data: we considered the following maturities: 1) 1 Quarter, from the Fama-Bliss Center for Research in Security Prices (CRSP) bond files 2) 4 Quarters, from the Fama-Bliss CRSP bond files 3) 8 Quarters, from the Fama-Bliss CRSP bond files 4) 12 Quarters, from the Fama-Bliss CRSP bond files 5) 16 Quarters, from the Fama-Bliss CRSP bond files 6) 20 Quarters, from the Fama-Bliss CRSP bond files 7) 40 Quarters, from the Refet S. Gurkaynak, Brian Sack, and Jonathan H. Wright dataset available at http://www.federalreserve.gov/econresdata/researchdata.htm Inflation expectation data: 1) average expected inflation over the next 4 quarters, from the surveys of professional forecasters 2) average expected inflation over the next 40 quarters, from the surveys of professional forecasters. Both series are available at http://www.philadelphiafed.org/research-and-data/ Money market data: 1) Eurodollar rate (3 months maturity). Available in datastream 2) the government-backed collateral repo rate (GC-repo) from Bloomberg (ticker RPGT03M) 3) Libor rate (3 months maturity). Available in datastream