OECDrealex: OECD Real Exchange Rates

In punitroots: Unit Roots in Panels of Time Series

Description

Quarterly real exchange rates against the US dollar for 17 OECD countries.

Usage

data("OECDrealex")

Format

A quarterly multiple time series from 1973(1) to 1998(4) with 17 variables.

Australia

Real exchange rate for Australia.

New Zealand

Real exchange rate for New Zealand.

Austria

Real exchange rate for Austria.

Belgium

Real exchange rate for Belgium.

Canada

Real exchange rate for Canada.

Denmark

Real exchange rate for Denmark.

Finland

Real exchange rate for Finland.

France

Real exchange rate for France.

Germany

Real exchange rate for Germany.

Italy

Real exchange rate for Italy.

Japan

Real exchange rate for Japan.

Netherlands

Real exchange rate for the Netherlands.

Norway

Real exchange rate for Norway.

Spain

Real exchange rate for Spain.

Sweden

Real exchange rate for Sweden.

Switzerland

Real exchange rate for Switzerland.

UK

Real exchange rate for the UK.

Details

The real exchange rates are measured in logarithms, such that the series of interest for country [i] is, at time [t],

Y_it = S_it + P_USt - P_it,

where S_it is the logarithm of the units of country [i]'s currency per US dollar, and P[USt] and P[it] are the logarithms of consumer price indices in the US and country [i], respectively. The nominal exchange rate and consumer price index data for the period under investigation are obtained from the OECD Main Economic Indicators Statistical Compendium 2000.

Source

Journal of Applied Econometrics Data Archive for Pesaran (2007).

http://qed.econ.queensu.ca/jae/datasets/pesaran002/

References

Pesaran MH (2007). A Simple Panel Unit Root Test in the Presence of Cross Section Dependence, Journal of Applied Econometrics, 22(2), 265–312.

Examples

data("OECDrealex")
plot(OECDrealex[,1:4])

## try: selected values from Pesaran, Table X

punitroots documentation built on May 2, 2019, 5:16 p.m.