Alejandro Justiniano and Bruce Preston, "Monetary Policy and Uncertainty in an Empirical Small Open Economy Model", Journal of Applied Econometrics, Vol. 25, No. 1, 2010, pp. 93-128. The data are quarterly and are provided in three text files: Australian_Data.txt Canadian_Data.txt New_Zealand_Data.txt Each of these files is an ASCII file in DOS format. They are zipped in the file jp-data.zip. Unix/Linux users should use "unzip -a". Data sources and samples are detailed carefully in Section 4 of the paper. In all three files, variables occur in the same order and are labelled by their original moniker for the source data. As an example, for Australia the series are: OBS Date of Observations USCPILD400 US CPI USYDEVQTR US Output USFFR US Interest rate AU_CPILD400 Australian CPI AUREERCPINEW Australian Real Exchange Rate AU_BB90 Australian Interest Rate AU_GDPRDEVQTR Australian Output AU_GMTOTLD Australian Terms of Trade