bhodrick93: Bekaert's and Hodrick's (1993) Data

In SciencePo: Political Behaviour Analysis Tool

Description

Data set used by Bekaert and Hodrick (1993) on biases in the measurement of foreign exchange risk premiums.

Usage

data(bhodrick93)

Format

A data frame with 778 observations on the following 11 variables. See Hayashi (2000) for details.

date

A character vector for date.

jyspot

Price of USD in JY, spot.

jyfwd

Price of USD in JY, 30-day forward.

jys30

Price of USD in JY, spot market at 30-day forward deliver/date.

dmspot

Price of USD in DM, spot.

dmfwd

Price of USD in DM, 30-day forward

dms30

Price of USD in DM, spot market at 30-day forward deliver/date.

bpspot

Price of USD in BP, spot.

bpfwd

Price of USD in BP, 30-day forward.

bps30

Price of USD in BP, spot market at 30-day forward deliver/date.

quote

A numeric vector.

Source

Hayashi, F. (2000) Econometrics. Princeton. New Jersey, USA: Princeton University.

http://fmwww.bc.edu/ec-p/data/Hayashi/

References

Bekaert, G., and Hodrick, R. J. (1993) On biases in the measurement of foreign exchange risk premiums. Journal of International Money and Finance, 12(2), 115-138.

Examples

data(bhodrick93)

SciencePo documentation built on May 2, 2019, 5:53 p.m.