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Description of data:
The data contained in the file GLPS.DAT runs from 1963q1-1999q4 (146 observations).
The estimation period for the model in the paper is 1965q1-1999q4 (140 observations).
The definitions and sources of the core model variables, in the order given in the file, are:
[1] y: the natural logarithm of UK real per capita domestic output, defined as
y=ln(GDP/POP),
where GDP is real gross domestic product, at 1995 market prices (index numbers, 1995=100), seasonally adjusted, source: Office of National Statistics (ONS) Economic Trends, code YBEZ.
POP is total UK population in thousands, source: ONS, Monthly Digest of Statistics, code DYAY.
[2] ys: the natural logarithm of real per capita foreign output, defined as:
ys=ln(GDP/POP),
where GDP is a total OECD Gross Domestic Product Volume Index (1995=100), at 1995 market prices, seasonally adjusted, source: OECD, Main Economic Indicators (MEI), code Q00100319.
POP is total OECD population (adjusted by subtracting the populations of Mexico, Poland, Hungary and Czech Republic), source: OECD, Labour Force Statistics.
[3] r: the domestic nominal interest rate, measured as a quarterly rate is computed as:
r= 0.25×ln[1+(R/100)],
where R is the ninety day Treasury Bill average discount rate, at an annualised rate, source: ONS, Financial Statistics, code AJNB.
[4] rs: the foreign nominal interest rate, measured as a quarterly rate is computed as:
rs=0.25×ln[1+( RS/100)],
where RS is a weighted average of foreign annualised interest rates where the weights are the United States(0.4382), Germany(0.236), Japan(0.2022) and France(0.1236), taken from the IMFs International Financial Statistics Yearbook 1998, pages X and Xi.
Source: IMFs International Financial Statistics (IFS). For the US we use the three-month Treasury Bill rate (IFS Code Q11160C), for Germany the Money Market Rate (IFS Code Q13460B),
for Japan the Money Market Rate (IFS Code Q15860B) and for France the three month Treasury Bill Rate (IFS Code Q13260C).
[5] e: the natural logarithm of the UK nominal effective exchange rate is computed as:
e=-ln(E),
where E is the Sterling Effective Exchange Rate (1995=100, rebased from 1990=100), source: ONS, Financial Statistics, code AJHX.
[6] hy: the natural logarithm of real per capita money stock expressed as a proportion of real per capita income in computed as:
hy= ln(H/Y),
where H is the M0 definition of the money stock (end period, £Million) seasonally adjusted, source: ONS, Financial Statistics and Bank of England. For the period 1969q2-1999q4 we use M0 money stock source: ONS, Financial Statistics, code AVAE. Nominal income Y is measured using gross domestic product at market prices (£ Million) and is seasonally adjusted, source: ONS, Economic Trends, code YBHA.
[7] po: the natural logarithm of the oil price is computed as:
po= ln(POIL),
where POIL is the Average Price of Crude Oil, in terms of US Dollars per Barrel,
source: IMF, IFS, code Q00176AAZ, converted into a 1995=100 index.
[8] pps: relative prices defined as:
pps = p -ps
where p is the natural logarithm of the domestic price level and ps is
the natural logarithm of the foreign price index. The domestic price, P,
is measured by the UK Producer Price Index: Output of Manufactured Products
(1995=100), source: ONS, Economic Trends, code PLLU. The foreign price, PS,
is measured by the total OECD Producer Price Index, 1995=100, source: OECD,
MEI, code Q005045k. The data used in the estimation are seasonally adjusted
versions of p_{t} or ln(P_{t}), where the adjustment is performed using the
Stamp package (see Harvey, Koopman, Doornik and Shephard, (1995)).
[9] dpo: the change natural logarithm of the oil price is computed as:
dpo= po -po(-1).
See above.
[10] dpr: the UK inflation rate is computed as:
ln(PR(t)-ln(PR(t-1)),
where PR is the UK Retail Price Index , All Items ( 1995=100, rebased from 1987=100),
source: ONS, Economic Trends, code CHAW. Seasonally adjusted as above.
