This .zip archive contains 6 files:

publicdata.txt contains data on forward discounts (FDXXX & TMPFDXXX), implied volatilities (IVXXX), skewness of exchange rate returns (SKEWXXX), realised returns (TMPRRXXX) and expected returns TMPREXXX) for the USD/EUR, USD/GBP and USD/JPY rates at the 1-,3-,6- and 12-month horizons. Data on order flow (TMPOFXXX) and standard deviation of forecasts (SDXXX) are not included as these are based on proprietary data from EBS and Reuters respectively.

tab1-prog_fama-reg.prg.txt contains the Eviews program to generate Table 1 in the article.

system_vi_decomp.prg.txt contains the Eviews program to generate Tables 2 and 3 in the article.

reg-progiv_of-fd.prg.txt contains the Eviews program to generate Table 4 in the article.

skew-prg.txt contains the Eviews program to generate Table 5 in the article.

tab_descstat.prg.txt ontains the Eviews program to generate the descriptive statistics Table in the appendix.


Notice: To reproduce results reported in Tables 2 to 5 and in the descriptive statistics proprietary data is required.  

