Ana Beatriz Galvao and Michael Owyang, "Forecasting Low-Frequency
Macroeconomic Events with High-Frequency Data", Journal of Applied
Econometrics, Vol. 37, No. 7, 2022, pp. 1314-1333.

https://doi.org/10.1002/jae.2931 

There are 11 data files in .xlsx format, plus 11 more files in .csv
format that contain the same data. All files are zipped in the file 
go-data.zip.


Data for empirical exercises that include financial variables (spread
and NFCI) in sessions 4.1 to 4.3.: 

GDP_event_neg.xlsx (Negative growth in session 4.3)
NBER_month_long.xlsx (NBER recessions, session 4.1 and 4.4). 
gdp_event.xlsx (quarters of vulnerable growth ? session 4.2)
spf_fore.xlsx  - SPF negative growth forecasts for session 4.4.
DGS10.xlsx  -  10 year TB (weekly data from St Louis Fred database)
DTB3.xlsx- 3-month TB (weekly data from St Louis Fred database). 
CFNAI.xlsx - CFNAI from Fred (monthly data from St Louis Fred database). 
NFCI.xlsx - NFCI (weekly data from St Louis Fred database). 


Data for empirical exercises using WEI in session 4.4: 

chauvet_piger.xlsx - real-time data on Chauvet and Piger Monthly
  Recession Probabilities from St Louis Alfred Database. 

wei_RT.xlsx - real-time data on Weekly Economic Index obtained from St
  Louis Alfred database (These are organised to be compatible with release
  times of the monthly CP recession probabilities above). Figure 6A

wei_rtvintages_v.xlsx - real-time data on Weekly Economic Index
  obtained from St Louis Alfred database - two vintages per week from
  high-frequency real-time analysis. Figure 6B. 

Note: Dates in the first column for quarterly and monthly datasets are
usually the first day of the next quarter/month.