DM {Hayashi}R Documentation

DM-Dollar Exchange Rate

Description

weekly observations from 1975 to 1989

number of observations : 778

observation : country

country : Germany

Usage

data(DM)

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]