Kai Li, "Exchange Rate Target Zone Models: A Bayesian Evaluation",
Journal of Applied Econometrics, Vol. 14, No. 5, 1999, pp. 461-490.

This readme file explains the layout of two datasets FFDM.DAT (size: 12,951
bytes) and ILDM.DAT (size: 12,264 bytes) used in this paper. The two files
are zipped together in the file kl-data.zip.

Both datasets are in plain ASCII (DOS) format and contain 10 variables.
FFDM.DAT contains 188 monthly observations for the period December 1977 to
July 1993; ILDM.DAT contains 178 monthly observations for the period
December 1977 to September 1992.


The detailed layout of FFDM.DAT is as follows.

Col.1-14:
FRUSRT, OECD Main Economic Indicators, the end-of-period spot exchange rate
in cents of USD per FF.

Col. 15-29:
GEUSRT, OECD Main Economic Indicators, the end-of-period spot exchange
rate in cents of USD per DM.

Col. 30-44:
FRINT, IMF International Financial Statistics, France 3-month LIBOR,
percent per annum.

Col. 45-59:
GEINT, IMF International Financial Statistics, Germany 3-month LIBOR,
percent per annum.

Col. 60-74:
FRM1, OECD Main Economic Indicators, money supply (M1) in billions of
FF.

Col. 75-89:
GEM1, OECD Main Economic Indicators, money supply (M1) in billions of
DM.

Col. 90-104:
FRIP, OECD Main Economic Indicators, index of industrial production in
France.

Col. 105-119:
GEIP, OECD Main Economic Indicators, index of industrial production in
Germany.

Col. 120-134:
YR87, the 1987 Basle-Nyborg dummy variable, taking the value of 1 after
the Basle-Nyborg Agreement, 0 otherwise.

Col. 135-150:
CPT, end-of-period central parity in FF/DM, obtained from Mizrach
(1995).


The detailed layout of ILDM.DAT is as follows.

Col.1-14:
ITUSRT, OECD Main Economic Indicators, the end-of-period spot exchange rate
in Italian Lire per USD.

Col. 15-29:
GEUSRT, OECD Main Economic Indicators, the end-of-period spot exchange
rate in cents of USD per DM.

Col. 30-44:
ITINT, IMF International Financial Statistics, Italy discount rate,
percent per annum.

Col. 45-59:
GEINT, IMF International Financial Statistics, Germany discount rate,
percent per annum.

Col. 60-74:
ITM1, OECD Main Economic Indicators, money supply (M1) in billions of IL.

Col. 75-89:
GEM1, OECD Main Economic Indicators, money supply (M1) in billions of
DM.

Col. 90-104:
ITIP, OECD Main Economic Indicators, index of industrial production in
France.

Col. 105-119:
GEIP, OECD Main Economic Indicators, index of industrial production in
Germany.

Col. 120-134:
YR87, the 1987 Basle-Nyborg dummy variable, taking the value of 1 after
the Basle-Nyborg Agreement, 0 otherwise.

Col. 135-150:
CPT, end-of-period central parity in IL/DM, obtained from Mizrach
(1995).


Kai Li
Faculty of Commerce
2053 Main Mall
The University of British Columbia
Vancouver, B.C. V6T 1Z2

Tel: (604) 822-8353
Fax: (604) 822-8521
http://finance.commerce.ubc.ca/~kaili/
e-mail: kai.li@commerce.ubc.ca