A dataset containing time series of the difference between the monthly Euro area and U.S. long-term government bond yields and monthly average Euro - U.S. dollar exchange rate. The data covers the time period January 1989 - December 2009 with monthly frequency. This is the same data (in non-scaled form) that is used by Kalliovirta et. al. (2016).
eurusdA numeric matrix of class 'ts' with 252 rows and 2 columns with one time series in each column:
The difference between the monthly Euro area and U.S. long-term government bond yields (10 year maturity, i_euro - i_us), from January 1989 to December 2009. calculated by the ECB and the Federal Reserve Board; prior to 2001, the Euro area data refer to the "EU11" countries, and afterwards with changing composition eventually to the "EU17" by the end of the data period.
Monthly average Euro - U.S. dollar exchange rate, from January 1989 to December 2009. Based on the ECU - USD exchange rate prior to 1999.
Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.
Kalliovirta L. and Saikkonen P. 2010. Reliable Residuals for Multivariate Nonlinear Time Series Models. Unpublished Revision of HECER Discussion Paper No. 247.
Virolainen S. 2020. Structural Gaussian mixture vector autoregressive model. Unpublished working paper, available as arXiv:2007.04713.