This Readme file describes the dataset used for the forthcoming JMCB paper titled "Monetary Shock Measurement and Stock Markets" 
by Arabinda Basistha and Richard Startz.

The dataset is monthly, from 1954:07 to 2016:12. This allows for  upto 12 lags in the VAR starting 1955:07. 

Column 1: Year-month
Column 2: SPR, S&P 500 return.

Column 3: WXPR, Wu-Xia Policy Rate, based on Wu, Jing Cynthia and Fan D. Xia. (2016). Measuring the Macroeconomic Impact of Monetary
Policy at the Zero Lower Bound. Journal of Money, Credit, and Banking 48 (2-3), pp. 253-291. This is equal to the effective federal
funds rate till 2008:12 as used in the study.

Column 4: INF, annualized monthly CPI inflation rate.
Column 5: IPG, annualized monthly industrial production growth rate.
Column 6: UNRATE, unemployment rate.

Table 1 in the study reports descriptive statistics based on 1955:07 to 2016:12.
The data sources are: 
1. Yahoo Finance website, 
2. FRED database at the Federal Reserve Bank og St. Louis website,
3. https://sites.google.com/view/jingcynthiawu/shadow-rates (currently moved to this website, different from the paper).

A program to accompany this dataset is also enclosed that computes the monetary shocks in Table 2 of the study.

