Exchange rates and fundamentals
Description
The dataset comprises monthly time series for exchange rates among the United States, Japan, Canada, the United Kingdom, France, Germany, and Italy. Explanatory variables include the output; the 3-month interest rates, the CPI, economic policy uncertainty indices, financial risk indicators such as implied equity market volatility (VIX), and geopolitical risk indicator, the U.S. monetary policy uncertainty, the U.S. trade policy uncertainty, the U.S. monetary policy surprise, term spread, and dividend yields. Macroeconomic series are drawn from the Federal Reserve Bank of St. Louis (FRED), OECD Main Economic Indicators, IMF International Financial Statistics, and national statistical agencies. Economic policy uncertainty and geopolitical risk indices come from policyuncertainty.com and the Caldara–Iacoviello dataset. Quarterly GDP data are interpolated to monthly frequency using the Chow–Lin method to match the frequency of other series. Monthly GDP data are obtained by interpolation. The EPU data are smoothed by a local level model. The explanatory data are transformed by natural logarithms. The sample spans January 1999 to March 2025, subject to data availability.