Kevin B. Grier and Mark J. Perry, "The Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Some GARCH-M Evidence", Journal of Applied Econometrics, Vol. 15, No. 1, 2000, pp. 45-58. The data are in the file grier-perry.data, which is an ASCII file in DOS format with 582 lines and 26814 bytes. It is zipped in gpdata.zip. The data series are as follows: DATE - YEAR:MONTH PUNEW - U.S. Monthly CPI-U: All Items, Seasonally Adjusted, 1948.07-1996.12 PW - U.S. Monthly Producer Price Index: All Commodities, Not Seasonally Adjusted. 1948.07-1996.12 IP - U.S. Industrial Production: Total Index, Seasonally Adjusted. 1948.07-1996.12 SPREAD - Interest rate spread = (6 Month Commercial Paper Rate - 3 Month Treasury Bill Rate) 1948.07-1996.12 All data are from DRI/McGraw-Hill Macroeconomic Database 1996.