Documentation for dm_fri.dat  

The file contains weekly observations from 1975 to 1990 on the German mark/US 
dollar exchange rate, German mark/US dollar thirty-day forward rate, and the US 
dollar thirty-day treasury bill rate.  

Reference:

Bansal, Ravi, A. Ronald Gallant, Robert Hussey, and George Tauchen (1992), 
"Nonparametric Estimation of Structural Models for High-Frequency Currency 
Market Data," Unpublished working paper, Duke Univesity.  

Corresponding author: George Tauchen, Department of Economics, Duke University, 
Durham, NC 27706, (919) 660-1812, e-mail get@tauchen.econ.duke.edu.  

*---------------------------------------------------------------------;
To read the data in SAS:
*---------------------------------------------------------------------;

data work01;

  infile 'dm_fri.dat';
  input (yy mm dd day gap  spot  forwrd  tb30)
        (2. 2. 2.  2.  3.   9.6     9.6   9.2);

* yy mm dd = year, month, day of the obervation;
* day      = day of the week, usually 5 which is Friday;
* gap      = number of days since previous observation, usually 7;
* spot   = spot rate in dm/$;
* forwrd = forward rate in dm/$;
* tb30   = 30-day T-Bill rate;

* Put exchange rates in $/dm for consistency with the paper.;

  s   = 100*(log((1.0/spot)));
  f   = 100*(log((1.0/forwrd)));

  ds = s - lag1(s);
  fs = f - s;
  tb = tb30;
     
  if _n_ = 1 then delete;

*---------------------------------------------------------------------;
To read the data in Fortran:
*---------------------------------------------------------------------;

      integer*4 i,m,n
      real*8    data,s1,s,f,spot,forwrd,tb30
      parameter (m=3, n=834) 
      dimension data(m,n)

      open(unit=14,file='dm_fri.dat',status='old') 

      s1 = 0.0 
      do i=0,n 
        read(14,'(11x,f9.6,f9.6,f9.2)') spot, forwrd, tb30 
c 
c       spot   = spot rate in DM/$ 
c       forwrd = forward rate in DM/$ 
c       tb30   = 30-day T-Bill rate 
c 
c       Put exchange rates in $/dm for consistency with the paper.  
c 
        s = 100*(dlog((1.d0/spot)))
        f = 100*(dlog((1.0d0/forwrd))) 
 
        if (i .ge. 1) then 
          data(1,i) = s - s1 
          data(2,i) = f - s 
          data(3,i) = tb30  
        endif 

        s1 = s 

      end do 

      close(14) 
      end
*---------------------------------------------------------------------;