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Part 1: Document Description
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Citation |
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Title: |
Replication data for: Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices |
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Identification Number: |
doi:10.7910/DVN/7VO7SR |
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Distributor: |
Harvard Dataverse |
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Date of Distribution: |
2012-01-17 |
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Version: |
1 |
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Bibliographic Citation: |
Lutz Kilian; Clara Vega, 2012, "Replication data for: Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices", https://doi.org/10.7910/DVN/7VO7SR, Harvard Dataverse, V1, UNF:5:+Rd/wuYz67IZ0jEpqJXYbw== [fileUNF] |
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Citation |
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Title: |
Replication data for: Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices |
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Identification Number: |
doi:10.7910/DVN/7VO7SR |
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Authoring Entity: |
Lutz Kilian (University of Michigan) |
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Clara Vega (Federal Reserve Board) |
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Distributor: |
Harvard Dataverse |
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Access Authority: |
Clara Vega |
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Date of Deposit: |
2012-01-17 |
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Series Name: |
Volume 93, Issue 2 |
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Holdings Information: |
https://doi.org/10.7910/DVN/7VO7SR |
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Study Scope |
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Abstract: |
N/A |
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Methodology and Processing |
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Sources Statement |
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Data Access |
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Notes: |
<a href="http://creativecommons.org/publicdomain/zero/1.0">CC0 1.0</a> |
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Other Study Description Materials |
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Related Publications |
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Citation |
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Title: |
Killian, Lutz, and Vega, Clara, (2011) "Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices." Review of Economics and Statistics 93:2, 660-671. |
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Bibliographic Citation: |
Killian, Lutz, and Vega, Clara, (2011) "Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices." Review of Economics and Statistics 93:2, 660-671. |
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File Description--f2338938 |
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File: mms_all_final2.tab |
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UNF:5:pAJG8XwK2U+hCjbSWMehag== |
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contains macroeconomic news surprise data. The variables in the data set are: year=year of the release of the announcement month=month of the release of the announcement day=day of the release of the announcement actX=actual macroeconomic announcement X foreX=forecast of macroeconomic announcement X surX=actX-foreX sursX=(actX-foreX)/stdev(actX-foreX) The X stands for different macroeconomic announcements numbered as follows: *GDP Advanced (26), GDP Preliminary (27), GDP Final (28), Unemployment Rate (1), Nonfarm Payroll (7), Retail Sales (9), Industrial Production (11), Capacity Utilization (10), Personal Income (19), Consumer Credit (21), Personal Consumption Expenditures (17), New Home Sales (18), Durable Goods Orders (3), Construnction Spending (13), Factory Orders (15), Business Inventories (12), Government Budget Deficit (20), Trade Balance (6), PPI (8), Core PPI (34), CPI (2), Core CPI (33) Consumer Confidence (U. Mich.) (P 71, F 72), Consumer Confidence Index (Board) (14), NAPM Index (16), Housing Starts (4), Index of Leading Indicators (5), Target Rate Surprises (32), Initial Claims (25) |
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File Description--f2338937 |
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File: retail_gas_daily_clean.tab |
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UNF:5:rYk6vXqZdi9f2gPMKDf9ew== |
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contains retail gasoline price changes. The variables in the data set are: retail_gas=Retail gas price level price_ch=100*log(p(t)/p(t-1)) |
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File Description--f2338936 |
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File: wti_clean.tab |
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UNF:5:7sR+ENp1VZ7Iib9zChJZpA== |
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contains WTI daily price changes. The variables in the data set are: wti=WTI price level price_ch=100*log(p(t)/p(t-1)) |
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