Yen {Hayashi} | R Documentation |
Yen-Dollar Exchange Rate
Description
weekly observations from 1975 to 1989
number of observations : 778
observation : country
country : Japan
Usage
data(Yen)
Format
A dataframe containing :
- Date
- the date of the observation (19850104 is January, 4, 1985)
- S
- the ask price of the dollar in units of Pound in the spot market on Friday of the current week
- F
- the ask price of the dollar in units of Pound in the 30-day forward market on Friday of the current week
- S30
- the bid price of the dollar in units of Pound in the spot market on the delivery date on a current forward contract
Source
Bekaert, G. and R. Hodrick (1993) “On biases in the measurement of foreign exchange risk premiums”, Journal of International Money and Finance , 12, 115-138.
References
Hayashi, F. (2000) Econometrics, Princeton University Press, chapter 6, 438-443.
[Package
Hayashi version 0.1-2
Index]