Alex Maynard and Peter C.B. Phillips, "Rethinking an Old Empirical Puzzle: Econometric Evidence on the Forward Discount Anomaly", Journal of Applied Econometrics, Vol. 16, No. 6, 2001, pp. 671-708. This paper uses daily spot and one month forward rates from five different sources, as well as one month London Eurocurrency nominal interest rates from two sources. The spot and forward rates come from Midlands Bank (MB), Barclays Bank (BB), Bankers Trust (BT), National Westminster Bank (NW) and Reuters Instrument Code (RIC). The data from RIC come from Data Resources (DRI), and the four bank series are from Data Stream International (DS). The interest rate series are from the Financial Times, obtained through DS, and from DRI. The DRI data (which are described below) are covered by a confidentiality agreement and are therefore not included in this archive. The spot and forward data are for Australia (AU), Canada (CA), France (FR), Germany (DE), Japan (JP) and the United Kingdom (UK). The interest rate data are for those six countries as well as for the United States (US). All spot and forward rates are in units of foreign currency per US dollar. (In some cases this required inverting the data in the original series.) The confidential nature of the DRI data is unfortunate since these were found to be the highest quality data and were used for all of the empirical work outside of the section on data contamination (section 4.1). However, the interest rate data from Data Stream International (DS) were also quite good, and more of the data contamination is likely to lie in the less heavily traded forward rates than in the spot rates themselves. Short of purchasing the DRI data, the next best solution would be to use one of the spot rates provided here in conjunction with the DS interest rate series (available for all but Australia). An implicit forward rate may then be computed using covered arbitrage, as described in the paper. (Contact information for DRI and an exact description of the data used are provided at the end of this file.) There are 18 data files, which are in DOS format and are zipped in the file mp-data.zip. All the data are in column format with the variable name at the bottom of each column: 1. AU-SPOT.dat (2880 daily observations: 09-OCT-86 to 10-MAR-98) This file contains the Australian spot data. The Bankers Trust and National Westminster Bank data are not available for Australia: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer AU_S_MB Spot rate from Midlands Bank AU_S_BB Spot rate from Barclays Bank 2. CA-SPOT.dat (2836 daily observations: 31-OCT-86 to 06-MAR-98) This file contains the Canadian spot data: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer CA_S_MB Spot rate from Midlands Bank CA_S_BB Spot rate from Barclays Bank CA_S_BT Spot rate from Bankers Trust CA_S_NW Spot rate from National Westminster Bank 3. FR-SPOT.dat (2861 daily observations: 31-OCT-86 to 06-MAR-98) This file contains the French spot data: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer FR_S_MB Spot rate from Midlands Bank FR_S_BB Spot rate from Barclays Bank FR_S_BT Spot rate from Bankers Trust FR_S_NW Spot rate from National Westminster Bank 4. DE-SPOT.dat (2839 daily observations: 31-OCT-86 to 06-MAR-98) This file contains the German spot data: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer DE_S_MB Spot rate from Midlands Bank DE_S_BB Spot rate from Barclays Bank DE_S_BT Spot rate from Bankers Trust DE_S_NW Spot rate from National Westminster Bank 5. JP-SPOT.dat (2861 daily observations: 31-OCT-86 to 06-MAR-98) This file contains the Japanese spot data: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer JP_S_MB Spot rate from Midlands Bank JP_S_BB Spot rate from Barclays Bank JP_S_BT Spot rate from Bankers Trust JP_S_NW Spot rate from National Westminster Bank 6. UK-SPOT.dat (2854 daily observations: 31-OCT-86 to 06-MAR-98) This file contains the United Kingdom spot data: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer UK_S_MB Spot rate from Midlands Bank UK_S_BB Spot rate from Barclays Bank UK_S_BT Spot rate from Bankers Trust UK_S_NW Spot rate from National Westminster Bank 7. AU-FWD.dat (2880 daily observations: 09-OCT-86 to 10-MAR-98) This file contains the Australian forward data. The Bankers Trust and National Westminster Bank data are not available for Australia: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer AU_F_MB Forward rate from Midlands Bank AU_F_BB Forward rate from Barclays Bank 8. CA-FWD.dat (2836 daily observations: 31-OCT-86 to 06-MAR-98) This file contains the Canadian forward data: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer CA_F_MB Forward rate from Midlands Bank CA_F_BB Forward rate from Barclays Bank CA_F_BT Forward rate from Bankers Trust CA_F_NW Forward rate from National Westminster Bank 9. FR-FWD.dat (2861 daily observations: 31-OCT-86 to 06-MAR-98) This file contains the French forward data: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer FR_F_MB Forward rate from Midlands Bank FR_F_BB Forward rate from Barclays Bank FR_F_BT Forward rate from Bankers Trust FR_F_NW Forward rate from National Westminster Bank 10. DE-FWD.dat (2839 daily observations: 31-OCT-86 to 06-MAR-98) This file contains the German forward data: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer DE_F_MB Forward rate from Midlands Bank DE_F_BB Forward rate from Barclays Bank DE_F_BT Forward rate from Bankers Trust DE_F_NW Forward rate from National Westminster Bank 11. JP-FWD.dat (2861 daily observations: 31-OCT-86 to 06-MAR-98) This file contains the Japanese forward data: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer JP_F_MB Forward rate from Midlands Bank JP_F_BB Forward rate from Barclays Bank JP_F_BT Forward rate from Bankers Trust JP_F_NW Forward rate from National Westminster Bank 12. UK-FWD.dat (2854 daily observations: 31-OCT-86 to 06-MAR-98) This file contains the United Kingdom forward data: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer UK_F_MB Forward rate from Midlands Bank UK_F_BB Forward rate from Barclays Bank UK_F_BT Forward rate from Bankers Trust UK_F_NW Forward rate from National Westminster Bank 13. CA-IR.dat (2836 daily observations: 31-OCT-86 to 06-MAR-98) This file contains the Canadian interest rate data: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer CA_IR_DS Interest rate from Data Stream 14. FR-IR.dat (2861 daily observations: 31-OCT-86 to 06-MAR-98) This file contains the French interest rate data: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer FR_IR_DS Interest rate from Data Stream 15. DE-IR.dat (2839 daily observations: 31-OCT-86 to 06-MAR-98) This file contains the German interest rate data: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer DE_IR_DS Interest rate from Data Stream 16. JP-IR.dat (2861 daily observations: 31-OCT-86 to 06-MAR-98) This file contains the Japanese interest rate data: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer JP_IR_DS Interest rate from Data Stream 17. UK-IR.dat (2854 daily observations: 31-OCT-86 to 06-MAR-98) This file contains the United Kingdom interest rate data: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer UK_IR_DS Interest rate from Data Stream 17. US-IR.dat (2854 daily observations: 31-OCT-86 to 06-MAR-98) This file contains the United States interest rate data: MONTH Month as integer 1-12 DAY Day of the month as integer 1-31 YEAR Two-digit year as integer US_IR_DS Interest rate from Data Stream NOTE: There were no Data Stream interest rate data for Australia. As mentioned above, the spot, forward and interest rate data from DRI are covered by a confidentiality agreement and are therefore not included in this archive. The contact information for DRI is given below: Standard & Poor's DRI Lexington, MA. USA tel. (800) 933-3374 fax. (781) 860-6416 The DRI data used in the paper are comprised of spot, forward and interest rate data as follows: Series Name: ADC00A Reuters Code: AUD Description: Spot exchange rate (Australia) Observations: 2880 daily observations from 09-OCT-86 to 10-MAR-98 Series Name: ADC01A Reuters Code: AUD1M Description: Forward exchange rate (Australia) Observations: 2880 daily observations from 09-OCT-86 to 10-MAR-98 Series Name: ADD01A Reuters Code: AUD1MD Description: Interest rate (Australia) Observations: 2880 daily observations from 09-OCT-86 to 10-MAR-98 Series Name: CAC00A Reuters Code: CAD Description: Spot exchange rate (Canada) Observations: 2836 daily observations from 31-OCT-86 to 06-MAR-98 Series Name: CAC01A Reuters Code: CAD1M Description: Forward exchange rate (Canada) Observations: 2836 daily observations from 31-OCT-86 to 06-MAR-98 Series Name: CAD01A Reuters Code: CAD1MD Description: Interest rate (Canada) Observations: 2836 daily observations from 31-OCT-86 to 06-MAR-98 Series Name: FRC00A Reuters Code: FRF Description: Spot exchange rate (France) Observations: 2861 daily observations from 31-OCT-86 to 06-MAR-98 Series Name: FRC01A Reuters Code: FRF1M Description: Forward exchange rate (France) Observations: 2861 daily observations from 31-OCT-86 to 06-MAR-98 Series Name: FRD01A Reuters Code: FRF1MD Description: Interest rate (France) Observations: 2861 daily observations from 31-OCT-86 to 06-MAR-98 Series Name: WGC00A Reuters Code: DEM Description: Spot exchange rate (Germany) Observations: 2839 daily observations from 31-OCT-86 to 06-MAR-98 Series Name: WGC01A Reuters Code: DEM1M Description: Forward exchange rate (Germany) Observations: 2839 daily observations from 31-OCT-86 to 06-MAR-98 Series Name: WGD01A Reuters Code: DEM1MD Description: Interest rate (Germany) Observations: 2839 daily observations from 31-OCT-86 to 06-MAR-98 Series Name: JAC00A Reuters Code: JPY Description: Spot exchange rate (Japan) Observations: 2861 daily observations from 31-OCT-86 to 06-MAR-98 Series Name: JAC01A Reuters Code: JPY1M Description: Forward exchange rate (Japan) Observations: 2861 daily observations from 31-OCT-86 to 06-MAR-98 Series Name: JAD01A Reuters Code: JPY1MD Description: Interest rate (Japan) Observations: 2861 daily observations from 31-OCT-86 to 06-MAR-98 Series Name: UKC00A Reuters Code: GBP Description: Spot exchange rate (United Kingdom) Observations: 2854 daily observations from 31-OCT-86 to 06-MAR-98 Series Name: UKC01A Reuters Code: GBP1M Description: Forward exchange rate (United Kingdom) Observations: 2854 daily observations from 31-OCT-86 to 06-MAR-98 Series Name: UKD01A Reuters Code: GBP1MD Description: Interest rate (United Kingdom) Observations: 2854 daily observations from 31-OCT-86 to 06-MAR-98 Series Name: USD01A Reuters Code: USD1MD Description: Interest rate (United States) Observations: 2854 daily observations from 31-OCT-86 to 06-MAR-98 Alex Maynard fax:(416) 978-6713 tel:(416) 978-4358 amaynard@chass.utoronto.ca http://www.economics.utoronto.ca/maynard/ University of Toronto Department of Economics 150 St. George St., Room N304 Toronto, Ontario, Canada M5S 3G7