Charles Bos, Ronald Mahieu, and Herman van Dijk, "Daily Exchange Rate
Behaviour and Hedging of Currency Risk", Journal of Applied
Econometrics, Vol. 15, No. 6, 2000, pp. 671-696.

The data used in this paper were extracted from DATASTREAM on January 3,
2000. They consist of daily observations on exchange rates and interest
levels over the period 1/1/1982-31/12/1999. There are 4696 observations.

Apart from an indication of the date (first three columns), the file
bmvd_data.txt (in bvmd_data.zip) contains the DM/USD exchange rate 
and the 1-month middle interest rates of Germany and the US. Names and 
codes in DATASTREAM are as follows:

Name                                            Code
DMARKER/USDOLLR                                 DMARKER/USDOLLR
GERMANY EURO-MARK 1 MTH (LDN:FT) - MIDDLE RATE  ECWGM1M
US EURO-$ 1 MONTH (LDN:FT) - MIDDLE RATE        ECUSD1M

These data are analyzed using a range of Ox programs. An explanation on
the programs is given in the file bmvd_progs.txt, and they are contained
in the zip file bmvd_progs.zip. 

Apart from this zip file, a working installation of Ox (including
SsfPack) is needed to use the programs. Graphs are made using
GnuDraw/GnuPlot. To view the graphs, install these packages
as well. See
  http://www.nuff.ox.ac.uk/Users/Doornik/      (Ox, version 2.2)
  http://www.ssfpack.com/                      (SsfPack, version 2.3)
  http://www2.tinbergen.nl/~cbos/gnudraw.html  (GnuDraw)
  http://www.gnuplot.org/                      (GnuPlot)

To replicate the results, please unzip the files bmvd_progs.zip and
bmvd_data.zip, rebuilding the included directory structures (with e.g.
pkunzip -d, or unzip). The explanation file concerning the programs
can be found as

  bmvd_jae/readme_bmvd_progs.txt

WARNING:
The data file is in DOS format, so Unix users should use "unzip -a" to
convert it. However, the program files appear to be in Unix format, so
Windows users will need to use "unzip -a".

Charles Bos, 17/11/2000
cbos@few.eur.nl
http://www2.tinbergen.nl/~cbos/