Exchange rates, uncovered interest parity and...
Creators:
Bowen Fu
;
Mengheng Li
;
Qazi Haque
AllDate.xlsx contains all data needed to replicate results in the paper: 1st column: date 2nd-8th column: interest rate of economies used for computing the interest rate differential 9th-14th column: exchange rate last nine column: macroeconomic shocks
Code_TVPSV.m estimates the TVP-SV-Fama model Code_TVPSVX.m estimates the TVP-SVX-Fama model (TVP-SV model augmented with economic shocks)
SampleLogv.m is a function file that samples the SV processes of all currencies pairs in parallel.
vec.m is a function file facilitating vectorization.
subtightplot and tightfig are plotting functions for visualization.
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Metadata
| Field | Value |
|---|---|
| Format | application/zip |
| License | CC-BY 4.0 |
| Type | data |
| Version | 1 |
| Authors | Fu, Bowen and Li, Mengheng and Haque, Qazi |
| DOI | |
| Publication Date | 2024 |
| Availability | Download |
| Geographic Area (free) | |
| Temporal Coverage (free) | |
| Unit Type | |
| Number of Units | |
| Sampled Universe | |
| Number of Variables | |
| URL | https://journaldata.zbw.eu/dataset/7cfcf937-953c-4c5b-9986-84237398dd74/resource/ed65fce1-26db-4939-8707-9ce2a525c9d7/download/exchange-rates-uncovered-interest-parity-and-time-varying-fama-regressions-replication-data.zip |
| Last updated | December 3, 2024 |
| Created | December 3, 2024 |
