weekly observations from 1975 to 1989
number of observations : 778
observation : country
country : Germany
A dataframe containing :
the date of the observation (19850104 is January, 4, 1985)
the ask price of the dollar in units of Pound in the spot market on Friday of the current week
the ask price of the dollar in units of Pound in the 30-day forward market on Friday of the current week
the bid price of the dollar in units of Pound in the spot market on the delivery date on a current forward contract
Bekaert, G. and R. Hodrick (1993) “On biases in the measurement of foreign exchange risk premiums”, Journal of International Money and Finance, 12, 115-138.
Hayashi, F. (2000) Econometrics, Princeton University Press, http://fhayashi.fc2web.com/hayashi_econometrics.htm, chapter 6, 438-443.