Wendun Wang, Xinyu Zhang, and Richard Paap, "To Pool or not to Pool: What is a Good Strategy for Parameter Estimation and Forecasting in Panel Regressions?", Journal of Applied Econometrics, Vol. 34, No. 5, 2019, pp. 724-745. The dataset is composed of five separate .csv files: -- CDS (Credit Default Swap Spreads), 14 countries over 157 periods (monthly data from January 2003 to January 2016). It contains the level data, and thus first differencing is needed to obtained the change data -- FXRates (Local Exchange Rate), 14 countries over 157 periods (monthly data from January 2003 to January 2016) -- FXReserves (Foreign Currency Reserves), 14 countries over 157 periods (monthly data from January 2003 to January 2016) -- LocalStock (Local Stock Market Returns), 14 countries over 157 periods (monthly data from January 2003 to January 2016) -- Global (global determinants) includes 7 variables over 157 periods (monthly data from January 2003 to January 2016): (1) U.S. stock market returns (MKT), (2) treasury yields (Trsy), (3) high-yield corporate bond spreads (HY), (4) equity premium (Eq Prem), (5) volatility risk premium (Vol Prem), (6) equity flows (EF), (7) bond flows (BF). All five files are .csv (text) files in DOS format. They are zipped in the file wzp-data.zip. Unix/Linux users should use "unzip -a".