“Data_Assignment”, and a copy of the same data in the Teaching Materials Folder “Data- Assignment”.
Websites
1) International Monetary Fund (IMF): https://data.imf.org/?sk=4c514d48-b6ba-49ed-8ab9-52b0c1a0179b&sId=1409151240976
Interest rates of all countries
https://data.imf.org/regular.aspx?key=61545855
Consumer Price Index of all countries
https://data.imf.org/regular.aspx?key=63087884
Industrial Production Index of all countries
https://data.imf.org/regular.aspx?key=63087884
Gross domestic product (GDP)
Exchange rates by country
https://data.imf.org/regular.aspx?key=61545850
Trade of goods by country
https://data.imf.org/regular.aspx?key=61545859
2) World Bank
https://data.worldbank.org/indicator
GDP growth (annual %)- All countries
https://data.worldbank.org/indicator/BX.KLT.DINV.CD.WD?view=chart
GDP per capita growth (annual %)- All countries
https://data.worldbank.org/indicator/NY.GDP.PCAP.KD.ZG
GDP per capita (current US$)- All countries
https://data.worldbank.org/indicator/NY.GDP.PCAP.CD
GDP per capita (constant 2015 US$) – Al countries
https://data.worldbank.org/indicator/NY.GDP.PCAP.KD
Inflation, GDP deflator (annual %)
https://data.worldbank.org/indicator/NY.GDP.DEFL.KD.ZG
3) Federal Reserve Bank of St. Louis
Spot Exchange rates
https://www.federalreserve.gov/datadownload/Choose.aspx?rel=H10
Interest rates in the USA
https://www.federalreserve.gov/releases/h15/
4) Federal Reserve Bank of Philadelphia
GDP in the USA
https://www.philadelphiafed.org/surveys-and-data/real-time-data-research/real-time-data-set-full-time-series-history
Moreover, you will find forward (futures) exchange rates for some currencies and more detailed data when you visit the website of the central bank of the country/ currency of your concern. E.g.:
European Central Bank (ECB)
Bank of England (BOE)
Swiss National Bank (SNB)
Reserve Bank of Australia (RBA)
Bank of Canada (BOC)
Reserve Bank of New Zealand (RBNZ)
Bank of Japan (BOJ)
Central Bank of the Russian Federation (CBR)
People’s Bank of China (PBOC)
Important Note
If the forward or futures exchange rate is not available, please use the formula that we learned in chapter 7 (slide # 22) to estimate one at each period and call it F*. For example, for the Japanese Yen at a given time:
F*$/¥ = S$/¥ ×(1+ i$)/(1+ i¥ )
Where F*$/¥ is the futures/ forward exchange rate of the Yen in term of the dollars (direct exchange rate at time t
S$/¥ is the spot exchange rat at time t
i$: interest rate on the US dollar (in the USA) at time t
i¥: interest rate on the Japanese Yen (in Japan) at time t
F1 one month: use one-month i$ and one-monthi¥ at time t
F3 3-month: use 3-month i$ and 3-monthi¥ at time t
Let the excel do the calculation for all periods.
We do the same for other currencies: Euro, GBP, …etc using that currency spot rates and interest rates.
All the time the spot exchange rates, and the forward exchange rates are expressed in dollars per one unit of the foreign currency.
Next
After you’ve done with the data, apply the data to one or more of the principles that we learned in this course such as:
1- IRP
2- PPP
3- Regression to forecast exchange rate
4- forward premium and discount
5- Arbitrage trading using forward/futures contracts
6- Foreign trade and exchange rate
7-….
…….
Make brief analysis in excel and/or graphs and submit in the designated folder “Assignment – Final version”
