Jaehun Chung and Yongmiao Hong, "Model-Free Evaluation of Directional
Predictability in Foreign Exchange Markets", Journal of Applied
Econometrics, Vol. 22, No. 5, 2007, pp. 855-889.

The data files are zipped in FX-data.zip, and the gauss program files are
zipped in GCS-programs.zip. They are all ASCII files in DOS format. The
files are named:

  ad.txt  bp.txt  cd.txt  dm.txt  jy.txt  sf.txt

 
(i) Data Description
 
The sample data used are daily foreign exchange spot rates in currency units
per U.S. dollar and daily foreign currency futures prices for the Australia
dollar (AD), the Canadian dollar (CD), the British pound (BP), the Japanese
yen (JY), the Swiss franc (SF), and the Deutsche mark (DM). Foreign exchange
spot rates are noon buying rates in New York for cable transfers payable and
available from the Board of Governors of the Federal Reserve System
(www.federalreserve.gov), and are attached, labeled with abbreviations. 

Futures prices for the same six currencies, denoted by F-prefix on each
symbol, are daily closing prices traded at the Chicago Mercantile Exchange
(CME) and obtained from Datastream. 

Interest rate data are the 3-month London InterBank Offered Rate (LIBOR)
for the U.S. dollar, the Australia dollar, the British pound , the Japanese
yen , the Swiss franc and the Deutsche mark. For the Canadian dolloar, we
use the 3-month Treasury bill rates. All Interest rates data come from
Datastream.

The sample futures prices and interest rate data are the property of
"Thomson Datastream", who do not permit open access. Hence the data cannot
be lodged here. Permission to use this data source (to buy a licence) should
be directed to "Thomson Datastream".


Sample statistics are given in the paper.
 
(ii) Program Description
 
All programs were run on Gauss 6.0, using the following programs:

program1.txt provides the GCS test statistics for a study of directional
predictability of individual currency returns.

Program2.txt and program3.txt provide the GCS test statistics for a study of
directional predictability of joint changes in two currencies. The former
(program2) tests directional predictability using the past returns of two
currencies, while the latter (program3) examines directional predictability
using past individual returns of each currency.
 
For more questions, current contact addresses are:

Jaehun Chung: jc257 [AT] cornell.edu
Yongmiao Hong: yh20 [AT] cornell.edu