R Dataset / Package Ecdat / DM

On this R-data statistics page, you will find information about the DM data set which pertains to DM Dollar Exchange Rate . The DM data set is found in the Ecdat R package. You can load the DM data set in R by issuing the following command at the console data("DM"). This will load the data into a variable called DM. If R says the DM data set is not found, you can try installing the package by issuing this command install.packages("Ecdat") and then attempt to reload the data with the library() command. If you need to download R, you can go to the R project website. You can download a CSV (comma separated values) version of the DM R data set. The size of this file is about 22,441 bytes.

DM Dollar Exchange Rate

Description

weekly observations from 1975 to 1989

number of observations : 778

observation : country

country : Germany

Usage

data(DM)

Format

A dataframe containing :

date: the date of the observation (19850104 is January, 4, 1985)
s: the ask price of the dollar in units of DM in the spot market on friday of the current week
f: the ask price of the dollar in units of DM in the 30-day forward market on friday of the current week
s30: the bid price of the dollar in units of DM in the spot market on the delivery date on a current forward contract

Source

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.

References

Hayashi, F. (2000) Econometrics, Princeton University Press, http://fhayashi.fc2web.com/hayashi_econometrics.htm, chapter 6, 438-443.

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