Hendrik Kaufmann, Florian Heinen and Philipp Sibbertsen, "The Dynamics
of Real Exchange Rates -- a Reconsideration", Journal of Applied
Econometrics, Vol. 29, No. 5, 2014, pp. 758-773.

The data used in this paper are from the International Financial
Statistics database. This is a confidential data source administered
by the International Monetary Fund which does not permit open access.
Access to the data can be obtained via

  http://www.imf.org/external/data.htm

where a 5-day trial account is possible. The data are also available
via Datastream as 3rd Party Explorer.

The raw data set comprises monthly observations on consumer price
indices and nominal exchange rates. The real exchange rate series were
constructed with these data in logarithmic form:

RER = ln(nominal exchange rate) - ln(domestic price level) 
      + ln(foreign price level)

The time spans of the series are from January 1973 to June 2011 for
non-Euro countries. For countries from the Euro area the data is
available until December 1998. For the Euro the data starts on January
1999. The paper does not combine currencies from the Euro area before
1999 with the Euro.A detailed list of the currencies can be found in
section 4 of the paper.

Philipp Sibbertsen
sibbertsen [AT] statistik.uni-hannover.de