Charles Bos, Ronald Mahieu and Herman van Dijk, "Daily Exchange Rate
Behaviour and Hedging of Currency Risk", Journal of Applied
Econometrics, Vol. XX, No. YY, 2000, pp. ZZ-ZZZ.

The data used in this paper was extracted from DATASTREAM on January
3, 2000, and consists of daily observations on exchange rates and
interest levels over the period 1/1/1982-31/12/1999.

Apart from an indication of the date (first three columns) the file
bmvd_data.txt (in bvmd_data.zip) contains the DM/USD exchange rate 
and the 1-month middle interest rates of Germany and the US. Names and 
codes in DATASTREAM are as follows:

Name                                            Code
DMARKER/USDOLLR                                 DMARKER/USDOLLR
GERMANY EURO-MARK 1 MTH (LDN:FT) - MIDDLE RATE  ECWGM1M
US EURO-$ 1 MONTH (LDN:FT) - MIDDLE RATE        ECUSD1M

This data is analyzed using a range of Ox-programs. An explanation on
the programs is given in the file readme_bmvd_progs.txt, contained in the
zipfile bmvd_progs.zip.

Apart from this zip-file, a working installation of Ox (including
SsfPack) is needed to use the programs. Graphs are made using
GnuDraw/GnuPlot. To view the graphs, install these packages
as well. See
  http://www.nuff.ox.ac.uk/Users/Doornik/      (Ox, version 2.2)
  http://www.ssfpack.com/                      (SsfPack, version 2.3)
  http://www2.tinbergen.nl/~cbos/gnudraw.html  (GnuDraw)
  http://www.gnuplot.org/                      (GnuPlot)

To replicate the results, please unzip the files bmvd_progs.zip and
bmvd_data.zip rebuilding the included directory structures (with e.g.
pkunzip -d, or unzip). The explanation file concerning the programs
can be found as
  bmvd_jae/readme_bmvd_progs.txt

Charles Bos, 17/11/2000
cbos@few.eur.nl
http://www2.tinbergen.nl/~cbos/

