Kevin B. Grier, Ólan T. Henry, Nilss Olekalns, and Kalvinder K. Shields,
"The Asymmetric Effects of Uncertainty on Inflation and Output Growth",
Journal of Applied Econometrics, Vol. 19, No. 5, 2004, pp. 551-565.

The file ghos.data, which is in DOS format and is zipped in the file
ghosdata.zip, contains the data series analysed in the above paper. 

The sample is monthly over the period April 1947 to October 2000. The first
column in the file contains the date, the second contains the consumer price
index, PPIFGS, and the third contains the industrial production index,
INDPRO. 

The data were obtained from the FRED database at the Federal Reserve Bank of
Saint Louis and were deseasonalized at source. 

The original Federal Reserve Economic Data (FRED) database was discontinued
on July 13, 2003. This database has been replaced by the FRED II database, 
http://research.stlouisfed.org/fred2/.