Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? A quantile machine-learning approach

Financial Innovation

Table 9 Dataset for U.S. economic conditions index

Data category	Variables
Mobility	Cellphone mobility index
	Retail gasoline price
	Vehicle miles traveled
Labour market	Initial unemployment insurance claims
	Continued unemployement insurance claims
	Total nonfarm employment
	Unemployment rate
	Average hours worked in manufacturing
Real activity	Coal production
	Oil rig counts
	Oil production
	Electricity consumption
	Real exports of goods
	Industrial production
	Real GDP
Expectations	Business applications
	New housing permits
	University of Michigan: Consumer sentiment
	Business Tendency Survey for Manufacturing
Financials	10-year Treasury yield
	Corporate bond spread: BAA-AAA
	Real trade-weighted value of the dollar
Households	Credit and debit card spending
	Real wage and salary income
	Real home price index

The reader is referred to the working paper version of Baumeister et al. (2022), available at: http://www.nber.org/papers/w29003, for further details on frequency, starting date, data transformation, data source, and seasonal adjustment