• Here is the data set on FX for six countries used in the examples in the paper of O. Aguilar and M. West (2000) Bayesian dynamic factor models and portfolio allocation, Journal of Business and Economic Statistics, 18:338--357

    These are daily spot prices (foreign currency in dollars) of the following currencies relative to the US dollar:

      GBP UK Pound
      JPY Japanese Yen
      DEM German Mark
      FRF French Franc
      CAD Canadian Dollar
      ESP Spanish Peseta
    The data run from 31/12/1987 to 1/1/1999 inclusive.

     

  • Here are two files containing data that partially overlaps that linked above-- this data set runs only until 1996 but on more currencies: the spot prices (foreign currency in dollars) and the returns for daily exchange rates of the following currencies relative to the US dollar:
      AUD Australian Dollar
      BEF Belgian Franc
      CAD Canadian Dollar
      FRF French Franc
      DEM German Mark
      JPY Japanese Yen
      NLG Dutch Guilder
      NZD New Zealand Dollar
      ESP Spanish Peseta
      SEK Swedish Krone
      CHF Swiss Franc
      GBP UK Pound
    There are 2567 (work-)daily spot prices, and so 2566 daily returns for each of these 12 currencies, over the period of about 10 years -- 10/9/1986 to 8/9/1996 (spot)
    • Actual spot rates -- s(t) on day t
    • Returns on spot rates -- s(t)/s(t-1)-1 on day t