SciencesPo (version 1.3.8)

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

Description

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

  • 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.

Usage

data(bhodrick93)

Arguments

encoding

UTF-8

format

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

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.