Monthly nominal exchange rates against the U.S. dollar for five industrialised economies, used in the empirical exercise of Rossi (2006). Originally distributed as a Datastream extract in the replication archive at https://github.com/GabboCg/rossi2006.
Format
A data frame with 1,550 rows and 3 variables:
- date
First-of-month
Date, from 1973-03-01 to 1998-12-01 (310 monthly observations per country).- country
Factor with levels
"Canada","France","Germany","Italy","Japan".- fx
Numeric. Nominal bilateral exchange rate level vs. the U.S. dollar, as supplied in the source file. The empirical exercise in Rossi (2006) works with
log(fx)and its monthly differences.
Source
Replication archive of Rossi (2006): https://github.com/GabboCg/rossi2006.
References
Rossi, B. (2006). Are exchange rates really random walks? Some evidence robust to parameter instability. Macroeconomic Dynamics, 10(1), 20-38.
Meese, R. A. and Rogoff, K. (1983). Empirical exchange rate models of the seventies: Do they fit out of sample? Journal of International Economics, 14(1-2), 3-24.
Examples
data(rossi2006)
head(rossi2006)
#> date country fx
#> 1 1973-03-01 Canada 100.1
#> 2 1973-04-01 Canada 99.7
#> 3 1973-05-01 Canada 100.5
#> 4 1973-06-01 Canada 100.2
#> 5 1973-07-01 Canada 99.8
#> 6 1973-08-01 Canada 99.5
with(subset(rossi2006, country == "Japan"),
plot(date, log(fx), type = "l", main = "Japan log FX"))
