Data and Code for

Michael B. Devereux and Gregor W. Smith
Testing the present-value model of the exchange rate with commodity currencies

Journal of Money, Credit and Banking

September 2020


1. The data are in 3 files, one for each of Canada, Australia, and New Zealand:

CanadaData2020.txt
AustraliaData2020.txt
NZData2020.txt

Rows are months.
Columns are: X S d Xm
(in levels)

For Canada and Australia the rows run from 1985:1 to 2020:7 monthly.
For New Zealand the rows run from 1986:1 to 2020:7 monthly.

Please see the online appendix for exact data sources.


2. The programs are in 3 files:

Canada2020.prg
Australia2020.prg
NZ2020.prg

Each file contains RATS code but is readable with a text editor.

These files
(a) find the FM-OLS estimates \tilde\alpha
(b) estimate the Campbell-Shiller-type difference equation to estimate \beta
and conduct the J-test of the overidentifying restrictions.

