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Bekaert-Hodrick93

Author

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  • Fumio Hayashi

Abstract

Instructional dataset, accompanying Econometrics, Fumio Hayashi, Princeton University Press, (c) 2000 Datasets also accessible in ASCII from http://www.e.u-tokyo.ac.jp/~hayashi/datasets.htm Data from the Bekaert-Hodrick paper "On biases in the measurement of foreign exchange risk premiums", J. International Money and Finance, 12, 115-138, 1993. Daily foreign exchange quotations, 778 days, 11 variables. Internally documented.

Suggested Citation

  • Fumio Hayashi, 2000. "Bekaert-Hodrick93," Instructional Stata datasets for econometrics bhodrick93, Boston College Department of Economics.
    • Handle: RePEc:boc:bocins:bhodrick93
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    File URL: http://fmwww.bc.edu/ec-p/data/hayashi/bhodrick93.dta
    File Function: Stata v7.0 web-accessible dataset
    Download Restriction: no
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