EU DATASET 
----------

Single Country Variables:

(country)EXR   		 	Effective Exchange Rate (National currency 
				units)

(country)FACT_6OS# (1 to 6)	Single Country Forni-Hallin-Lippi-Reichlin 
		      	 	one-sided factors

(country)FACT_BP# (1 to 6)	Single Country Stock and Watson factors, 
		     		balanced panel

(country)FACT_NBP# (1 to 6)	Single Country Stock and Watson factors, 
		      	 	non-balanced panel

(country)FACT_OS# (1 to 3)	Single Country Forni-Hallin-Lippi-Reichlin 
		     		one-sided factors

(country)GAP			Output Gap

(country)IBK3M			3-months Interbank Deposits

(country)INFL			Inflation Rate

(country)INFL12			Inflation Rate (12 month ahead)

(country)INFLDEV		(country)INFL - Bundes Bank Target Inflation

BDINFT				Bundes Bank Target Inflation Rate

BDCPI and SPCPI			German and Spanish Consumer Price Index

BDCP7500F, FRCP7500F, and ITCP7500F respectively German, French, and Italian 
	   	      	  	    Producer Prices (Manufacturing)

BDM3DM				3-month interest rate (DM)

BDM3E				3-month interest rate (Euro)

DUMGER				Dummy Variable for Germany Reunification 
				(1990:7)

BDINPRODG, FRIP, ITINPRODG, and SPIP	Industrial Production

L(country)IP				log of Industrial Production

FRDM and LIRDM			resp. FF / DM and Lira / DM Exchange Rate

LRFRDM and LRPESDM		resp. log of Real FF / DM and Ptas / DM 
       	   			Exchange Rate

DLRLIRDM and DLRPESDM		resp. dlog of Real Lira / DM and Ptas / DM 
	     			Exchange Rate

WDI76AXDF			Price of Commodities

LPCM				=log(wdi76axdf); Price of Commodities

NTAY_(country)_BASE		Taylor Rule for each country: no factors 
				among instruments

NTAY_(country)_FH33		Taylor Rule: 3 single country and 3 FHLR 
				factors computed on the European panel among 
				instruments

NTAY_(country)_FH3EU 		Taylor Rule: 3 "European" FHLR factors among 
				instruments

NTAY_(country)_FH3SC		Taylor Rule: 3 single country FHLR factors 
				among instruments

NTAY_(country)_FH6EU 		Taylor Rule: 6 "European" FHLR factors among 
				instruments

NTAY_(country)_FH6SC 		Taylor Rule: 6 single country FHLR factors 
				among instruments

NTAY_(country)_SW33		Taylor Rule: 3 single country and 3 "European"
				SW one-sided factors among instruments

NTAY_(country)_SW3EU		Taylor Rule: 3 "European" SW one-sided factors
				among instruments

NTAY_(country)_SW3SC		Taylor Rule: 3 single country SW one-sided 
				factors among instruments

NTAY_(country)_SW6EU		Taylor Rule: 6 "European" SW one-sided 
				factors among instruments

NTAY_(country)_SW6SC		Taylor Rule: 6 single country SW one-sided 
				factors among instruments

NVAR_(country)_BASE		VAR(1) for each country: no factors among 
				exogenous variables

NVAR_(country)_FH33		VAR(1): 3 single country and 3 FHLR factors 
				computed on the European panel among 
				exogenous variables

NVAR_(country)_FH3EU	 	VAR(1): 3 "European" FHLR factors among 
				exogenous variables

NVAR_(country)_FH3SC		VAR(1): 3 single country FHLR factors among 
				exogenous variables

NVAR_(country)_FH6EU 		VAR(1): 6 "European" FHLR factors among 
				exogenous variables

NVAR_(country)_FH6SC 		VAR(1): 6 single country FHLR factors among 
				exogenous variables

NVAR_(country)_SW33		VAR(1): 3 single country and 3 "European" SW 
				one-sided factors among exogenous variables

NVAR_(country)_SW3EU		VAR(1): 3 "European" SW one-sided factors 
				among exogenous variables

NVAR_(country)_SW3SC		VAR(1): 3 single country SW one-sided factors 
				among exogenous variables

NVAR_(country)_SW6EU		VAR(1): 6 "European" SW one-sided factors 
				among exogenous variables

NVAR_(country)_SW6SC		VAR(1): 6 single country SW one-sided factors 
				among exogenous variables



Aggregated European Variables:

EU4FACT_3OS# (1 to 3)		EU aggregate Forni-Hallin-Lippi-Reichlin 
	     	   		one-sided factors

EU4FACT_6OS# (1 to 6)		EU aggregate Stock and Watson factors, 
	     	   		balanced panel

EUFACT4_BP# (1 to 6)		EU aggregate Stock and Watson factors, 
	       	  		non-balanced panel

EUFACT4_NBP# (1 to 6)		EU aggregate Forni-Hallin-Lippi-Reichlin 
	     	   		one-sided factors

EUGAP				European Output Gap


US Variables:

USCP7500F			US Producer Prices (Manufacturing)

USDM				US$ / DM Exchange Rate

DUSDM				(differences)

DLRUSDM				(dlog)

M003				3-month interest rate

USINFL				US inflation rate


NOTE: D, L, and DL indicate, respectively, first diffecerence, log, and d(log)
transformation of the series.

