A monthly Euro area data covering the period from January 1999 to December 2021 (276 observations) and consisting four variables: cyclical component of log industrial production index, the log-difference of harmonized consumer price index, the log-difference of Brent crude oil prices (Europe), and an interest rate variable. The interest rate variable is the Euro overnight index average rate (EONIA) from January 1999 to October 2008, and after that the Wu and Xia (2016) shadow rate, which is not constrained by the zero lower bound and also quantifies unconventional monetary policy measures. The log-difference of the harmonized consumer price index is multiplied by hundred and the log-difference of oil price by ten. This data is the one that was used in Virolainen (2022).
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