Katarina Juselius and Katrin Assenmacher, "Real Exchange Rate Persistence and the Excess Return Puzzle: The Case of the Switzerland versus the US", Journal of Applied Econometrics, Vol. 32, No. 6, 2017, pp. 1145-1155. The data used in this article are from the International Financial Statistics (IFS) of the International Monetary Fund (IMF). They are quarterly and run from 1974, first quarter to 2013, third quarter. USR3M: 3 months US dep. libor, divided by 400. USB10y: US government bond yield 10 year, divided by 400: Yield on actively traded treasury issues adjusted to ten-year constant maturities. Yield on treasury securities at constant maturity are interpolated by the U.S. Treasury from the daily yield curve. R3M: Switzerland, 3 month london interbank offered rate (LIBOR), divided by 400: Swiss franc. Prior to 1978 the series is the 3 month interbank Zurich money market rate. B10y: Switzerland, government bond yield, divided by 400: Beginning in January 1998, data refer to spot interest rate on government bonds with 10-year maturity. Prior to that date, data cover government bonds with maturity of up to 20 years. LP: Swiss CPI, all country, in logs. LPus: US CPI, all items, city average, in logs. LShUS official rate, Swiss franc per US dolllar, midpoint rate, quarterly average, in logs. sea1D, sea2D, sea3D and sea4D are a set of seasonal dummies, starting in 2000Q1 to take account of the change in the seasonal pattern of the CPI. The analysis was done using CATS for RATS. The code is provided in the file SwissIKE.txt. The standard errors for the I(2) analysis were computed with a beta version of Oxmetrics. All data are in the file Swissdata.csv, an ASCII file in DOS format. The file swissIKE.txt contains a program file that reads these data. Both files are zipped in the file ja-data.zip. Unix/Linux users should use "unzip -a".