RDP 2024-10: How Do Global Shocks Affect Australia? Appendix A: Data

Patrick Hendy and Benjamin Beckers

December 2024

Table A1: FAVAR Data
Variables, sources and transformations
Country/Region Variable Source Transformation Available from
Asia Corporate bond yield index spread Bloomberg First difference Sep 2001
Canada 10-year government bond yield St. Louis FRED First difference Jan 1990
Canada 90-day interbank rate St. Louis FRED First difference Jan 1990
Canada CPI IMF IFS Log difference Jan 1990
Canada Exchange rate to US dollar St. Louis FRED Log difference Jan 1990
Canada Final consumption index IMF IFS Log difference Mar 1990
Canada GDP deflator IMF IFS Log difference Mar 1990
Canada Industrial production index IMF IFS Log difference Jan 1997
Canada Investment IMF IFS Log difference Mar 1990
Canada Net exports IMF IFS Log difference Mar 1990
Canada Policy rate Reuters Refinitiv First difference Jan 1990
Canada Producer price index Reuters Refinitiv Log difference Jan 1990
Canada Real GDP IMF IFS Log difference Mar 1990
Canada Total share price index St. Louis FRED Log difference Jan 1990
Canada Unemployment rate IMF IFS First difference Jan 1990
China 10-year government bond yield Bloomberg First difference Jun 2005
China 90-day interbank rate Bloomberg First difference Sep 2014
China CPI IMF IFS Log difference Jan 1990
China Exchange rate to US dollar St. Louis FRED Log difference Jan 1990
China Industrial production index CEIC Log difference Jan 1994
China Producer price index Reuters Refinitiv Log difference Jan 1993
China Reserve requirement ratio CEIC First difference Jan 1994
China Total stock price index (Shanghai Composite) Bloomberg Log difference Dec 1990
China Unemployment rate Reuters Refinitiv First difference Mar 2004
Emerging markets JP Morgan Emerging Market volatility index Bloomberg First difference Mar 2000
Euro area Corporate bond yield index spread Bloomberg First difference Jun 1998
Euro area ECU/euro to US dollar Bloomberg Log difference Jan 1990
Euro area Eurostoxx VIX Bloomberg Log difference Mar 1999
France 10-year government bond yield St. Louis FRED First difference Jan 1990
France 90-day interbank rate St. Louis FRED First difference Jan 1990
France CPI IMF IFS Log difference Jan 1990
France Final consumption index IMF IFS Log difference Mar 1990
France GDP deflator IMF IFS Log difference Mar 1990
France Import price index IMF IFS Log difference Jan 1999
France Industrial production index IMF IFS Log difference Jan 1990
France Net exports IMF IFS Log difference Mar 1990
France Producer price index Reuters Refinitiv Log difference Jan 1995
France Real GDP IMF IFS Log difference Mar 1990
France Total share price index St. Louis FRED Log difference Jan 1990
France Unemployment rate IMF IFS First difference Jan 2003
Germany 10-year government bond yield St. Louis FRED First difference Jan 1990
Germany 90-day interbank rate St. Louis FRED First difference Jan 1990
Germany CPI IMF IFS Log difference Jan 1990
Germany Final consumption index IMF IFS Log difference Mar 1991
Germany GDP deflator IMF IFS Log difference Mar 1991
Germany Import price index IMF IFS Log difference Jan 1990
Germany Industrial production index IMF IFS Log difference Jan 1990
Germany Investment Reuters Refinitiv Log difference Mar 1991
Germany Net exports IMF IFS Log difference Mar 1991
Germany Producer price index IMF IFS Log difference Jan 1990
Germany Real GDP IMF IFS Log difference Mar 1991
Germany Total share price index St. Louis FRED Log difference Jan 1990
Germany Unemployment rate Reuters Refinitiv First difference Mar 2004
Global Base metals price index RBA Log difference Jan 1990
Global Brent oil price St. Louis FRED Log difference Jan 1990
Global Bulks price index RBA Log difference Jan 1990
Global Global exchange rate volatility index Bloomberg First difference Jun 1992
Global Rural commodities price index RBA Log difference Jan 1990
Global WTI oil St. Louis FRED Log difference Jan 1990
India 10-year government bond yield St. Louis FRED First difference Dec 2011
India 90-day interbank rate St. Louis FRED First difference Dec 2011
India CPI IMF IFS Log difference Jan 1990
India Exchange rate to US dollar St. Louis FRED Log difference Jan 1990
India Final consumption index IMF IFS Log difference Jun 1996
India GDP deflator IMF IFS Log difference Jun 1996
India Industrial production index IMF IFS Log difference Jan 1990
India Net exports IMF IFS Log difference Jun 1996
India Policy rate IMF IFS First difference Jun 2000
India Producer price index IMF IFS Log difference Apr 2004
India Real GDP IMF IFS Log difference Jun 1996
India Total share price index St. Louis FRED Log difference Jan 1990
Italy 10-year government bond yield St. Louis FRED First difference Jun 1993
Italy 90-day interbank rate St. Louis FRED First difference Jan 1990
Italy CPI IMF IFS Log difference Jan 1990
Italy Final consumption index IMF IFS Log difference Mar 1996
Italy GDP deflator IMF IFS Log difference Mar 1996
Italy Import price index IMF IFS Log difference Jan 2005
Italy Industrial production index IMF IFS Log difference Jan 1990
Italy Net exports IMF IFS Log difference Mar 1996
Italy Producer price index IMF IFS Log difference Jan 1991
Italy Real GDP IMF IFS Log difference Mar 1996
Italy Total share price index St. Louis FRED Log difference Jan 1990
Italy Unemployment rate IMF IFS First difference Jan 1990
Japan 10-year government bond yield St. Louis FRED First difference Jan 1990
Japan 90-day interbank rate St. Louis FRED First difference Jan 1990
Japan CPI IMF IFS Log difference Jan 1990
Japan Exchange rate to US dollar St. Louis FRED Log difference Jan 1990
Japan Final consumption index IMF IFS Log difference Mar 1990
Japan GDP deflator IMF IFS Log difference Mar 1994
Japan Import price index IMF IFS Log difference Jan 1990
Japan Industrial production index IMF IFS Log difference Jan 1990
Japan Investment IMF IFS Log difference Mar 1994
Japan Net exports IMF IFS Log difference Mar 1990
Japan Policy rate IMF IFS First difference Mar 1990
Japan Producer price index IMF IFS Log difference Jan 1990
Japan Real GDP IMF IFS Log difference Mar 1990
Japan Total share price index St. Louis FRED Log difference Jan 1990
Japan Unemployment rate IMF IFS First difference Jan 1990
Latin America Corporate bond yield index spread Bloomberg First difference Sep 2001
Mexico 10-year government bond yield St. Louis FRED First difference Jul 2001
Mexico 90-day interbank rate St. Louis FRED First difference Jan 1997
Mexico CPI IMF IFS Log difference Jan 1990
Mexico Exchange rate to US dollar St. Louis FRED Log difference Nov 1993
Mexico Final consumption index IMF IFS Log difference Mar 1993
Mexico GDP deflator IMF IFS Log difference Mar 1993
Mexico Import price index IMF IFS Log difference Feb 2014
Mexico Industrial production index IMF IFS Log difference Jan 1990
Mexico Net exports IMF IFS Log difference Mar 1993
Mexico Policy rate IMF IFS First difference Dec 2001
Mexico Producer price index IMF IFS Log difference Dec 2003
Mexico Real GDP IMF IFS Log difference Mar 1993
Mexico Total share price index St. Louis FRED Log difference Jan 1990
Mexico Unemployment rate IMF IFS First difference Jun 1995
New Zealand 10-year government bond yield St. Louis FRED First difference Jan 1990
New Zealand 90-day interbank rate St. Louis FRED First difference Jan 1990
New Zealand CPI IMF IFS Log difference Mar 1990
New Zealand Exchange rate to US dollar St. Louis FRED Log difference Jan 1990
New Zealand Final consumption index IMF IFS Log difference Mar 1990
New Zealand GDP deflator IMF IFS Log difference Mar 1990
New Zealand Import price index IMF IFS Log difference Mar 1990
New Zealand Industrial production index St. Louis FRED Log difference Jan 1990
New Zealand Investment IMF IFS Log difference Mar 1990
New Zealand Net exports IMF IFS Log difference Mar 1990
New Zealand Policy rate IMF IFS First difference Mar 1999
New Zealand Producer price index IMF IFS Log difference Mar 1990
New Zealand Real GDP IMF IFS Log difference Mar 1990
New Zealand Total share price index St. Louis FRED Log difference Jan 1990
New Zealand Unemployment rate IMF IFS First difference Mar 1990
Russia 10-year government bond yield St. Louis FRED First difference Jan 1999
Russia CPI IMF IFS Log difference Jan 1992
Russia Exchange rate to US dollar St. Louis FRED Log difference Jun 1992
Russia Final consumption index IMF IFS Log difference Mar 2003
Russia GDP deflator IMF IFS Log difference Mar 2003
Russia Industrial production index IMF IFS Log difference Jan 1995
Russia Net exports IMF IFS Log difference Mar 2003
Russia Policy rate IMF IFS First difference Dec 2001
Russia Producer price index Reuters Refinitiv Log difference Jan 1991
Russia Real GDP IMF IFS Log difference Mar 2003
Russia Total share price index St. Louis FRED Log difference Sep 1997
Russia Unemployment rate IMF IFS First difference Jan 2010
South Korea 10-year government bond yield St. Louis FRED First difference Oct 2000
South Korea 90-day interbank rate Bloomberg First difference Sep 1998
South Korea CPI IMF IFS Log difference Jan 1990
South Korea Exchange rate to US dollar St. Louis FRED Log difference Jan 1990
South Korea Final consumption index IMF IFS Log difference Mar 1990
South Korea GDP deflator IMF IFS Log difference Mar 1990
South Korea Import price index IMF IFS Log difference Jan 1990
South Korea Industrial production index IMF IFS Log difference Jan 1990
South Korea Investment IMF IFS Log difference Mar 1990
South Korea Net exports IMF IFS Log difference Mar 1990
South Korea Policy rate IMF IFS First difference May 1999
South Korea Producer price index IMF IFS Log difference Jan 1990
South Korea Real GDP IMF IFS Log difference Mar 1990
South Korea Total share price index St. Louis FRED Log difference Jan 1990
South Korea Unemployment rate IMF IFS First difference Jan 1990
UK 10-year government bond yield St. Louis FRED First difference Jan 1990
UK 90-day interbank rate St. Louis FRED First difference Jan 1990
UK CPI IMF IFS Log difference Jan 1990
UK Exchange rate to US dollar St. Louis FRED Log difference Jan 1990
UK Final consumption index IMF IFS Log difference Mar 1990
UK GDP deflator IMF IFS Log difference Mar 1990
UK Import price index IMF IFS Log difference Mar 1997
UK Industrial production index IMF IFS Log difference Jan 1990
UK Investment IMF IFS Log difference Mar 1990
UK Net exports IMF IFS Log difference Mar 1990
UK Policy rate IMF IFS First difference Jan 1990
UK Producer price index IMF IFS Log difference Jan 1990
UK Real GDP IMF IFS Log difference Mar 1990
UK Total share price index St. Louis FRED Log difference Jan 1990
UK Unemployment rate IMF IFS First difference Jan 1990
US 10-year government bond yield St. Louis FRED First difference Jan 1990
US 90-day interbank rate St. Louis FRED First difference Jan 1990
US Corporate Baa 10-year spread Bloomberg First difference Mar 1990
US CPI IMF IFS Log difference Jan 1990
US Final consumption index IMF IFS Log difference Mar 1990
US GDP deflator IMF IFS Log difference Mar 1990
US ICE corporate bond high yield index spread St. Louis FRED First difference Mar 1994
US Import price index IMF IFS Log difference Mar 1997
US Industrial production index IMF IFS Log difference Jan 1990
US Investment IMF IFS Log difference Mar 1990
US Net exports IMF IFS Log difference Mar 1990
US Policy rate IMF IFS First difference Jan 1990
US Producer price index IMF IFS Log difference Jan 1990
US Real GDP IMF IFS Log difference Mar 1990
US Total share price index St. Louis FRED Log difference Jan 1990
US Unemployment rate IMF IFS First difference Jan 1990
US VIX St. Louis FRED First difference Mar 1990