Tommaso, Ferraresi, Andrea Roventini, and Giorgio Fagiolo, "Fiscal Policies and Credit Regimes: A TVAR Approach", Journal of Applied Econometrics, Vol. 30, No. 7, 2015, pp. 1047-1072. The zipped folder frf-data.zip contains two txt files. The file "frf-raw.txt" contains raw data, and the file "frf-transformed.txt" contains the data series employed in the analyses. Almost all the series were downloaded from the FRED database (vintage: June 2013). For monthly series we picked up end of quarter values. Data span from 1978Q1 to 2010Q4 for the raw series used within the main sample (1984Q1-2010Q4) and from 1955Q1 to 2010Q4 for those also used in the longer sample (1961Q1-2010Q4). Some exceptions are GDP and GDP implicit price deflator which end in 2012Q4, as they are used in order to get more accurate end of sample estimates the output gap throughout the H-P filter. Furthermore, the spread series provided by Gilchrist and Zakrasjek (2012) end in 2010Q3 as it is the case for forecasted rate of change of government spending from the Survey of Professional Forecasters (drawn from Auerbach and Gorodnichenko, 2012). Finally, M2 series starts in 1959Q1. As to the sample periods within the paper, we refer to the dates at which the dependent variables are observed. For instance, in the sample 1984Q1-2010Q4 the vector of the dependent variables span from 1984Q1 to 2010Q4. Therefore, a VAR(1) will include data from 1983Q4 to 2010Q4. The results in Section 5 are produced by estimating within the 198Q4Q1-2010Q4 sample a TVAR including (choleski order): delta_g, delta_gdp, debt_gdp, d_inflation, delta_i, SPREAD (threshold variable: SPREAD). Below we report the list of the series used together with their sources. ************raw.txt******************* NAME DESCRIPTION obs Quarters Source: FRED database (https://research.stlouisfed.org/fred2/) GGI Gross governemnt investment GGS Gross government saving BLNECLBSNNB Nonfinancial Corporate Business; Depository Institution Loans Not Elsewhere Classified; Liability, Level BLNECLBSNNCB Nonfinancial Noncorporate Business; Depository Institution Loans Not Elsewhere Classified, Excluding Noncorporate Farms; Liability, Level CPLBSNNCB Nonfinancial Corporate Business; Commercial Paper; Liability, Level GCE Government Consumption and Gross Investment GDP Gross Domestic Product GDPDEF GDP implicit price deflator BAA Moody's Seasoned Baa Corporate Bond Yield FEDFUNDS Effective Federal Funds Rate GS10 10-Year Treasury Constant Maturity Rate M2SL M2 Money Stock (seasonally adjusted) CNP16OV Civilian Noninstitutional Population Source: NIPA Tables (http://www.bea.gov/index.htm) primary_deficit Government primary deficit Source: Auerbach & Gorodnichenko (2012): http://www.aeaweb.org/articles.php?doi=10.1257/pol.4.2.1; file: data_Greenbook_SPF; 1983Q1-2010Q3 (i.e., part of the series referring to the Survey of Professional Forecasters) GG_forecasts Government Consumption and Gross Investment (rates of change; forecasted values) Source: Gilchrist & Zakrasjek (2012): http://www.aeaweb.org/articles.php?doi=10.1257/aer.102.4.1692; file: GZ_monthly.csv gz_spr Gilchrist & Zakrasjek (2012), the "GZ credit spread," the average (cross-sectional) credit spread on senior unsecured corporate bonds issued by nonfinancial firms in our sample (in percentage points) ebp Gilchrist & Zakrasjek (2012), the (option-adjusted) excess bond premium (in percentage points) gz_spr_oa_p Gilchrist & Zakrasjek (2012), predicted GZ spread that excludes the effects of the term structure and interest rate volatility on credit spreads of callable bonds (in percentage points) ***********transformed.txt*************** NAME DESCRIPTION (FORMULAS WHEN NEEDED) obs Quarters spread Spread between BAA corporate bonds and 10-Year Treasury Constant Maturity Rate: BAA-GS10 delta_spread Spread between BAA corporate bonds and 10-Year Treasury Constant Maturity Rate (first difference): spread-spread(t-1) SPREAD Spread between BAA corporate bonds and 10-Year Treasury Constant Maturity Rate (MA(2) of the first difference): 1/2*(delta_spread + delta_spread(t-1)) quantity_cp Ratio between bank loans to non-financial firms and bank loans + commercial paper: (BLNECLBSNNB + BLNECLBSNNCB) /(CPLBSNNCB + BLNECLBSNNB + BLNECLBSNNCB) MIX Ratio between bank loans to non-financial firms and bank loans + commercial paper (first difference): 100*(quantity_cp - quantity_cp(t-1)) MIX_filt Ratio between bank loans to non-financial firms and bank loans + commercial paper (MA(3) of the first difference): 1/3*(MIX + MIX(t-1) + MIX(t-2)) d_gz_spr_oa_p Gilchrist & Zakrasjek (2012), GZ spread (first difference): gz_spr_oa_p - gz_spr_oa_p(t-1) d_gz_spr Gilchrist & Zakrasjek (2012), predicted GZ spread (first difference): gz_spr - gz_spr(t-1) GZ_SPREAD Gilchrist & Zakrasjek (2012), GZ spread (MA(2) of the first difference): 1/2*(d_gz_spr + d_gz_spr(t-1)) EXP_DEF_SPREAD Gilchrist & Zakrasjek (2012), predicted GZ spread (MA(2) of the first difference): 1/2*(d_gz_spr_oa_p + d_gz_spr_oa_p(t-1)) g Real Government Consumption and Gross Investment (logarithm): log(GCE) - log(GDPDEF) delta_g Real Government Consumption and Gross Investment (rates of change): 100*(g - g(t-1)) gdp Real Gross Domestic Product (logarithm): log(GDP) - log(GDPDEF) delta_gdp Real Gross Domestic Product (rates of change): 100*(gdp - gdp(t-1)) output_gap Output Gap (H-P filter applied to the log of gdp using data from 1955Q1 to 2012Q4; lambda: 1600) debt Current Government Deficit: GGI - GGS DEBT_GDP Ratio between government deficit and GDP: debt/GDP debt_gdp Ratio between government deficit and GDP (first difference): 100*(DEBT_GDP - DEBT_GDP(t-1)) inflation Quarterly Inflation (measured at annual rates): 400*(log(GDPDEF) - log(GDPDEF(t-1))) d_inflation Price acceleration: inflation - inflation(t-1) i Effective Federal Funds Rate delta_i Effective Federal Funds Rate (first difference): i - i(t-1) m2_n M2 Money Stock (logarithm): log(M2SL) m2_r Real M2 Money Stock (logarithm): log(M2SL) - log(GDPDEF) d_m2_n M2 Money Stock (rates of change): m2_n - m2_n(t-1) d_m2_r Real M2 Money Stock (rates of change): m2_r - m2_r(t-1) DEBT_alt Ratio between Government Primary Deficit and GDP: primary_deficit/GDP debt_alt Ratio between Government Primary Deficit and GDP (first difference): DEBT_alt - DEBT_alt(t-1)