Mardi Dungey, Vance L. Martin, and Adrian R. Pagan, "A Multivariate
Latent Factor Decomposition of International Bond Spreads", Journal of
Applied Econometrics, Vol. 15, No. 6, 2000, pp. 697-715.

All data are in the file dmpdata.dat, which is an ASCII file in DOS format.
It is zipped in the file dmpdata.zip.

The data are long bond yields and short rates as detailed in Appendix A of
the paper.

There are 433 observations (rows), and 12 columns of data (representing the
rates for 6 countries).

Sample Frequency: weekly, Tuesday observations.
Sample period: 08-January-1991 to 20-April-1999
Order of data by column:

Long bond yields for Australia, US, Japan, Germany, Canada, and the UK,
sourced from Datastream with codes AUBRYLD, USBD10Y, JPBRYLD, BDBRYLD,
CDN10YB, UKMBRYD, respectively.

Short rates for Australia, US, Japan, Germany, Canada, and the UK, sourced
from Datastream, with codes AUSTB3M, USBA30D, JPIBK3M, FIBOR3M, CN13884,
LDNTB3M, respectively.

For further information contact Mardi Dungey at Mardi.Dungey@anu.edu.au .