Gabriel Fagan, James Lothian, and Paul McNelis, "Was the Gold Standard 
Destabilizing?", Journal of Applied Econometrics, Vol. 28, No. 2, 2013, 
pp. 231-249.

All data are in the file gold_data.txt, which is an ASCII file in DOS
format. It is zipped in the file gold_data.xip. Unix/Linux users
should use "unzip -a".

The dataset consists of a single matrix of dimension 148 by 4.  The
data span 1878 (first quarter) to 1914 (fourth quarter).  The first
column is real GDP, the second is the GDP deflator, the third is the
commercial paper rate, and the last column in the base money supply 

For Bayesian estimation, we transform the logarithm of real GDP with
the Hodrik-Prescott filter, whereas the only transformation we apply
to the inflation rate, the money growth rate, and the interest rate is
to subtact their respective sample means.

The data we use for the Gold-Standard era come from Balke and Gordon
(1989) and are based on quarterly interpolations of the annual data
reported in Balke and Gordon (2004).  

Balke N, Gordon R. 2004. The estimation of pre-war gross national
product: Methodology and new evidence. Journal of Political Economy
97: 38-92.

Balke N, Gordon RJ. 1989. Appendix B, Historical data. In Gordon RJ
(ed.) The American Business Cycle, Continuity and Change. Chicago: The
University of Chicago Press, 781-783.

Paul McNelis
McNelis [AT] fordham.edu