dm: USD/Deutschemark Exchange Rates over time.

In lachlandeer/hayashir: R Companion to "Econometrics" by Fumio Hayashi

USD/Deutschemark Exchange Rates over time.

Description

Hayashi 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.

Usage

data('dm')

Format

A data.frame with 778 observations on 4 variables:

• date: date of the observation

• spot_rate: the ask price of the US Dollar in units of the Deutsche Mark in the spot market on Friday of the current week,

• forward_30: the ask price of the US Dollar in units of the Deutsche Mark in the 30-day forward market on Friday of the current week

• spot_30: : the bid price of the US Dollar in units of the Deutsche Mark in the spot market on the delivery date on a current forward contract

Details

A time series data set at weekly frequency of the US Dollar / Deutsche Mark exchange rate. Data period is January 1975 to November 1989.

Notes

Used in the Empirical Exercise of Chapter 6.

Source

https://sites.google.com/site/fumiohayashi/hayashi-econometrics/data-for-empirical

Examples

 str(dm)

lachlandeer/hayashir documentation built on Feb. 9, 2023, 2:01 p.m.