Emanuel Moench, "Term Structure Surprises: The Predictive Content of 
Curvature, Level, and Slope", Journal of Applied Econometrics, Vol. 27, 
No. 4, 2012, pp. 574-602.

The data and data description are contained in the accompanying files 
"Moench_Surprises_MacroData.xlsx" and "Moench_Surprises_YieldData.xlsx". 
The data are also provided in the corresponding ASCII files 
"Moench_Surprises_MacroData.txt" and "Moench_Surprises_YieldData.txt".  The
two .xlsx files are zipped in em-data-xlsx.zip, and two ASCII files are
zipped in em-data.zip. Unix/Linux users should use "unzip -a" for the
latter.

The sheet "data" in the file "Moench_Surprises_YieldData.xls" contains a TxN
matrix of unsmoothed zero coupon US government bond yields for various
maturities. These have been obtained from Robert Bliss. The first row of the
panel provides the specific maturity of each yield series in months. 

The sheet "data" in the file "Moench_Surprises_MacroData.xlsx" contains a
TxN matrix of raw macro data.  This is a subset of the series underlying the
analysis in Ginannone, Reichlin, Sala (Macroeconomics Annual 2004), 
"Monetary Policy in Real Time". Before estimation, these data are subject to
pre-transformations. The specific pre-transformations used are provided in
the paper as well as in the sheet "data_descr". This sheet also lists the 
series descriptions as well as the series numbers in the original dataset by
Giannone, Reichlin, and Sala (2004).  This information is repeated here. 

Ser # # in GRS	Variable
1  1	Index of IP: Total
2  22	Capacity Utilization: Total  (NAICS)
3  30	Purchasing Managers Index (PMI)
4  33	Index of help-wanted advertising
5  43	Employment on nonag payrolls: Total
6  62	Avg weekly hrs. of production or nonsupervisory workers ("PNW"):
        Total private
7  74	Personal Cons. Expenditure: Total (bil of chained 96$)
8  85	Construction put in place: Total (in mil of current $): OLD
        classification
9  87	Inventories: Mfg and Trade: Total (mil of chained 96$)
10 94	ISM mfg index: new orders
11 103	NYSE composite index
12 108	S&P composite
13 111	Nominal effective exchange rate
14 128	M1 (in mil of current $)
15 129	M2 (in mil of current $)
16 130	M3 (in mil of current $)
17 134	Loans and Securities @ all commercial banks: Total (in mil of
        current $) (4)
18 144	PPI: finished goods (1982=100 for all PPI data)
19 153	CPI: all items (urban)
20 167	PCE chain weight price index: Total
21 172	Avg hourly earnings: Total nonagricultural (in current $)
22 187	Philadelphia Fed Business Outlook: General activity (5)
23 192	Outlook: Prices paid
24 193	Outlook: Prices received
25 197	Federal govt deficit or surplus (in bil of current $) (not SA)

Ser # = Series No. in data sheet
# in GRS = Series No. in original dataset from Giannone, Reichlin,
           Sala (Macro Annual, 2004)
Tcode = Transformation Code (0 = no transformation, 1 = logarithm,
        2 = monthly differences, 3 = quarterly growth rate,
	4 = annual growth rate)