Peter C. B. Phillips, James W. McFarland, and Patrick C. McMahon,
"Robust Tests of Forward Exchange Market Efficiency with Empirical
Evidence from the 1920's", Journal of Applied Econometrics, Vol. 11, No.
1, 1996, pp. 1-22.

This data set was collected by hand transcription from back issues of
the Manchester Guardian by Patrick McMahon.  Its source should be
acknowledged in any published or unpublished work that makes use of it.

The data set includes series of spot and one month forward rates for the
following currrencies:  Belgian Franc, French Franc, Italian Lira, and
US dollar.  All rates are measured in terms of the pound sterling.  The
data are daily observations, including Saturdays, and cover the period 1
May 1922 through to 30 May 1925.

The zip file rates.zip contains a single ASCII file rates.pmm.