Michael Ehrmann, Marcel Fratzscher, and Roberto Rigobon, "Stocks, Bonds, 
Money Markets and Exchange Rates: Measuring International Financial 
Transmission", Journal of Applied Econometrics, Vol. 26, No. 6, 2011, 
pp. 948-974.

Both files are ASCII files in DOS format. They are zipped in the file
efr-files.zip. Unix/Linux users should use "unzip -a".

1. Data (ECBData.csv, 834KB):
Data are stored as comma delimited CSV files. Missings are 999999.

Column 1: BOOLEAN
Column 2: YEAR
Column 3: MONTH
Column 4: DAY
Column 5: SHORT EURO AREA RATE
Column 6: LONG EURO AREA RATE
Column 7: SHORT US RATE
Column 8: LONG US RATE
Column 9: EXCHANGE RATE
Column 10: US STOCK MARKET
Column 11: EURO AREA STOCK MARKET
Column 12: MACRO SHOCK US: ADVANCE GDP
Column 13: MACRO SHOCK US: CONSUMER CONFIDENCE
Column 14: MACRO SHOCK US: CPI
Column 15: MACRO SHOCK US: FINAL GDP
Column 16: MACRO SHOCK US: HOUSING STARTS
Column 17: MACRO SHOCK US: INDUSTRIAL PRODUCTION
Column 18: MACRO SHOCK US: NAPM
Column 19: MACRO SHOCK US: NON-FARM PAYROLLS
Column 20: MACRO SHOCK US: PRELIMINARY GDP
Column 21: MACRO SHOCK US: PRODUCER PRICES
Column 22: MACRO SHOCK US: RETAIL SALES
Column 23: MACRO SHOCK US: TRADE BALANCE
Column 24: MACRO SHOCK US: UNEMPLOYMENT
Column 25: MACRO SHOCK US: WORK WEEK
Column 26: MACRO SHOCK GERMANY/EURO AREA: CPI
Column 27: MACRO SHOCK GERMANY/EURO AREA: GDP FINAL
Column 28: MACRO SHOCK GERMANY/EURO AREA: GDP PRELIMINARY
Column 29: MACRO SHOCK GERMANY/EURO AREA: IFO INDEX
Column 30: MACRO SHOCK GERMANY/EURO AREA: INDUSTRIAL PRODUCTION
Column 31: MACRO SHOCK GERMANY/EURO AREA: INDUSTRIAL PRODUCTION GERMANY
Column 32: MACRO SHOCK GERMANY/EURO AREA: MANUFACTURING ORDERS
Column 33: MACRO SHOCK GERMANY/EURO AREA: PPI
Column 34: MACRO SHOCK GERMANY/EURO AREA: PPI GERMANY
Column 35: MACRO SHOCK GERMANY/EURO AREA: RETAIL SALES
Column 36: MACRO SHOCK GERMANY/EURO AREA: TRADE BALANCE
Column 37: MACRO SHOCK GERMANY/EURO AREA: UNEMPLOYMENT
Column 38: MACRO SHOCK GERMANY/EURO AREA: M3
Column 39: MACRO SHOCK GERMANY/EURO AREA: UNEMPLOYMENT GERMANY
Column 40: MACRO SHOCK GERMANY/EURO AREA: M3 GERMANY
Column 41: OIL PRICE
Column 42: NBER RECESSION DUMMY


2. Code (efr-code.do):

The file efr-code.do contains a GAUSS program. We used version 6.0 to run the
program.