Jamie Cross, Bao H. Nguyen, and Trung Duc Tran, "The Role of 
Precautionary and Speculative Demand in the Global Market for Crude 
Oil", Journal of Applied Econometrics, Vol. 37, No. 5, 2022,
pp. 882-895.

All data are stored in the file oil-data.zip. They are ASCII text
files in DOS format.

DATA 
****

The data used in the SVAR model are monthly and titled
"Data_SVAR.txt".  The datasets are arranged in column format with rows
corresponding to months and columns corresponding to variables.  The
rows contain data at the following dates ... giving ... total
observations per series. The columns contain data on the following
variables (in this order):

  C1--the growth rate of global oil production 
  C2--the measure of global business cycle
  C3--the log of real price of oil
  C4--the change in global crude oil inventories 
  C5--oil price uncertainty index

The data used in the contruction of the OPU index are titled
"Data_SVAR.txt".  The datasets are arranged in column format with rows
corresponding to months and columns corresponding to variables. The
rows contain dates from 1973--January to 2018--June giving 546 total
observations per series. The columns contain data on the following
variables (in this order):

C1--Crude oil price: U.S. Crude Oil Imported Acquisition Cost by Refiners 
C2--Energy Index
C3--Crude oil price: Average
C4--Crude oil price: Dubai
C5--Coal price: Australian
C6--Natural gas price: US
C7--Natural gas price: Europe
C8--Natural gas price: Index
C9--Exchange Rate: AUD (DEXUSAL)
C10--Exchange Rate: CAD(EXCAUS)
C11--Exchange Rate: CLP(CCUSSP02CLM650N)
C12--Exchange Rate: NZD( DEXUSNZ)
C13--Exchange Rate: NOK(DEXNOUS)
C14--Exchange Rate: ZAR(EXSFUS)
C15--Economic Activity: Kilian Index
C16--Oil Production
C17--US Uncertainty: JLN
C18--Economic Activity: OECD+6NME Industrial Production
C19--Crude Oil Stock (Thousand Barrels)		
C20--Money Supply: USM1
C21--Price Index: USCPI

Data sources:

The data for the oil market variables in the SVAR was made available
from replication files for

  Xiaoqing Zhou, "Refining the Workhorse Oil Market Model", Journal of
  Applied Econometrics, Vol. 35, No. 1, 2020, pp. 130-140.
  
Link to data archive: http://qed.econ.queensu.ca/jae/datasets/zhou001/

The data for the construction of the OPU index were made available from
the following sources:

1. U.S. Crude Oil Imported Acquisition Cost by Refiners (Dollars per
Barrel) Data (Source: U.S. Energy Information Administration (EIA))

2. Other Fuel Data: Energy Index, Cruide oil index, Coal (Australian),
Natural gas (Source: World Bank Pink Sheet)

3. Commodity Exchange Rate: AUD, CAD, CLP, NZD, ZAR (Source: St Louis FED)

4. Other Macro Variables:

   i. Real Economic Activity (Source: Kilian, 2009)
   ii. Oil Production  (Source: EIA)
   iii. Above-ground oil inventories (Source: EIA)
   iv. U.S M1, U.S CPI (Source: St Louis FED)