Data set used by Bekaert and Hodrick (1993) on biases in the measurement of foreign exchange risk premiums. This dataset contains the following columns:
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 object with ncol(SciencesPo::bhodrick93) variables and nrow(SciencesPo::bhodrick93) observations.
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.
