RDP 9203: Real Exchange Rates and the Globalisation of Financial Markets Data Appendix

All data are taken from OECD National Accounts, Main Economic Indicators and Economic Outlook databases.

For the Cointegration Results

  • Real long-term interest rates refer to long-term rates minus a centred 3-year moving average of inflation. Inflation refers to the GDP deflator for each country. Long-term rates are the 10-year government bond rate for the United States; central government bonds for Japan; and public sector bonds for Germany and the United Kingdom; and public and semi-public sector bonds for France.
  • Real exchange rates refer to the nominal bilateral spot rate between the two countries deflated by the ratio of their respective GDP deflators.
  • The cumulated current account term refers to the cumulation of the current account of country A in local currency as a percentage of nominal GDP in local currency minus the same concept for country B.

For the Real Interest Parity Tests

  • Short-term real interest rates are the three month nominal rate for period t to t+1 less the realised inflation rate over this period. Short rates refer to the 3-month Treasury bill rate for the United States, Italy, the United Kingdom and Canada; the 3-month Treasury paper rate for the Netherlands; the Gensaki rate for Japan; the PIBOR for France; the FIBOR for Germany; and the 3-month Eurodeposits for Switzerland. The inflation rate refers to CPI inflation.
  • Instrumental variables used in addition to some of the above were US and German real GDP, the United States money supply M2 and Germany money supply M3.

For the Interest Rate Charts

  • Onshore and offshore rates refer to 3-month domestic deposits versus 3-month Eurodeposits.
  • Covered interest parity measures use 3-month interest rates (above), spot exchange rates and forward rates.

For the Savings Investment Correlations

  • Investment refers to total private investment as a share of GDP/GNP. Total savings and government savings are also used in the regression.