Data sets used in specific publications

Real Risk , Inflation Risk, and the Term Structure (The Economic Journal, 2003)

• Real and Nominal yields (asci file with format information)

Order Flow and Exchange Rate Dynamics (Journal of Political  Economy, 2002)

• Excel spreadsheet with daily data

FX Trading and Exchange Rate Dynamics (Journal of Finance, 2002)

• Supplemental Appendix (pdf)
• Gauss Dataset with prices, order flow and trade intensity
• Format information for Gauss Dataset

Time-Varying Liquidity in Foreign Exchange (Journal of Monetary Economics 2002)

• Hourly Data (excel file)

Informational Integration and FX Trading (The Journal of International Money and Finance, 2002)

• Daily Prices and Order Flows for Nine Currency Pairs (asci file)

Real Rates, Expected Inflation and Inflation Risk Premia (Journal of Finance, 1998)

• Selected real and nominal yields (asci file)
• Gauss data set and programs to compute nominal and index-linked discount functions (zip file)