RDP 2005-02: The Impact of Monetary Policy on the Exchange Rate: A Study Using Intraday Data Appendix A: Data Description and Sources

Table A1: Data
  Australia Canada NZ UK
Interest rates
1-month interest rate 30-day bank bills (RBA) 1-month bankers acceptances (BoC) 1-month wholesale bill (RBNZ) 1-month LIBOR (Datastream: LDNIB1M)
3-month interest rate 90-day bank bills (RBA) 3-month bankers acceptances (BoC) 3-month wholesale bill (RBNZ) 3-month LIBOR (Datastream: LDNIB3M)
Contracts 90-day bank bills (Bloomberg: IR1 comdty) 3-month bankers acceptances (Bloomberg: BA1 comdty) 3-month bank bills (Bloomberg: ZB1 comdty) 3-month LIBOR (Bloomberg: L 1 comdty)
Futures exchange Sydney Futures Exchange Montreal Exchange Sydney Futures Exchange London International Financial Futures Exchange
Settlement months March, June, September and December for all countries
Expiration day 2nd Friday 3rd Tuesday Thursday after first Wednesday after 9th of month 3rd Thursday
Exchange rates RBA/Reuters, 10-minute intervals, midpoint of 2 closest quotes
Note: RBA is the Reserve Bank of Australia, BoC is the Bank of Canada, and RBNZ is the Reserve Bank of New Zealand.