Data Sets

Click to download. These series may be used freely at the user's risk, provided the underlying paper is cited.

Data in ASCII format:

• Kilian index: Updated and corrected version of the index of global real economic activity in industrial commodity markets, as proposed in Kilian (2009), "Not all oil price shocks are alike ...", monthly percent deviations from trend, 1968.1-2020.4. The nature of the correction is discussed in Kilian (2018). For further discussion of the advantages of this index compared with measures of global real GDP or global industrial production, in particular, see Kilian and Zhou (2018). Updated versions of this series are now published every month by the Federal Reserve Bank of Dallas at https://www.dallasfed.org/research/igrea. They are also available through Haver Analytics and through the FRED database at the Federal Reserve Bank of St. Louis.

  • Baseline exogenous OPEC oil production shock series, as derived in Kilian (2008), "Exogenous oil supply shocks ...", quarterly, 1971.I-2004.III

Data in Excel format:

• • Oil price expectations in dollars/barrel at horizons of 3, 6, 9, and 12 months, monthly, 1992.1-2017.7. The data set is constructed by replacing the WTI estimates by Brent estimates starting in 2005.1, given that the Brent price has been a better proxy for the global price of oil in recent years. The data source is "A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil".