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. 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.
encoding
UTF-8format
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.