Supplementary Material > Volume 108 Issue 451 (November 1998)

Volume 108 Issue 451 (November 1998)

Rethinking Deviations From Uncovered Interest Parity: the Role of Covariance Risk and Noise

Nelson C. Mark, Yangru Wu

 File size: 28KB

Description of data: Variables (as defined in the text):

"Noise-q.dat": This is the main data set used in the paper. The sources of the
data are explained as follows:

All exchange rates (both spot and forward) are obtained from Harris Bank's
Weekly Review.

Consumer price indices for four countries are obtained from IMF's IFS.

Consumption and other macro data are from CitiBase for the U.S., and from
IFS for the other three countries.

In addition to this data set, we also use data from Froot-Frankel (QJE 89),
Cavaglia-Verschoor-Wolff (JB 94), and Frankel-Chinn (RIE 93, 136-144).
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