ࡱ> rtq` ~.bjbj 4f~&6666<C(CCCCCCC$Dh+GH@C===@CUCAAA=CA=CAAA S6b?AC kC0CAsHr?RsHAAJsH"B &2 A0\c7Q@C@C?C====D66 Data Appendix Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals Original Data Series Source (O.1) Nominal exchange rate, Japan U.S. FRED, EXJPUS (O.2) Nominal exchange rate, Canada U.S. FRED, EXCAUS (O.3) Nominal exchange rate, Switzerland U.S. FRED, EXSZUS (O.4) Nominal exchange rate, U.S. U.K. FRED, EXUSUK (O.5) Nominal exchange rate, France U.S. FRED, EXFRUS (O.6) Nominal exchange rate, Germany U.S. FRED, EXGEUS (O.7) Nominal exchange rate, Italy U.S. FRED, EXITUS (O.8) Nominal exchange rate, Sweden U.S. FRED, EXSDUS (O.9) Nominal exchange rate, U.S. Australia FRED, EXUSAL (O.10) Nominal exchange rate, Denmark U.S. FRED, EXDNUS (O.11) Nominal exchange rate, Netherlands U.S. FRED, EXNEUS (O.12) Nominal exchange rate, Portugal U.S. FRED, EXPOUS (O.13) M1 money supply, n.s.a., U.S. IFS, 11159MA.ZF (O.14) M2 money supply, n.s.a., U.S. IFS, 11159MB.ZF (O.15) M1 money supply, s.a., U.S. IFS, 11159MA.CZF (O.16) M1 money supply, billions of yens, n.s.a, Japan IFS, 15834...ZF... (O.17) M1 money supply, billions of Canadian dollars, n.s.a., Canada IFS, 15634...ZF... (O.18) M1 money supply, billions of Swiss franks, n.s.a., Switzerland IFS, 14634...ZF... (O.19) M0 money supply, billions of British pounds, n.s.a., U.K IFS, 11219MC.ZF... (O.20) M1 money supply, billions of French franks, n.s.a., France IFS, 13259MA.ZF.. (O.21) M1 money supply, billions of Deutsche marks, s.a., Germany IFS, 13459MACZF... (O.22) M2 money supply, billions of Italian liras, n.s.a., Italy IFS, 13659MB.ZF... (O.23) M1 money supply, billions of Swedish kronors, n.s.a., Sweden IFS, 14459MA.ZF... (O.24) M1 money supply, billions of Australian dollars, n.s.a., Australia IFS, 19334...ZF... (O.25) M1 money supply, billions of Danish kroners, n.s.a., Denmark IFS, 12834...ZF... (O.26) M2 money supply, billions of Dutch guilders, n.s.a., Netherlands IFS, 13859MB.ZF... (O.27) M1 money supply, billions of Portuguese escudos, n.s.a., Portugal IFS, 18259MA.ZF... (O.28) Federal Funds Rate, United States IFS, 11160B..ZF... (O.29) Money Market Rate, Canada IFS, 15660B..ZF... (O.30) Money Market Rate, Switzerland IFS, 14660B..ZF... (O.31) Money Market Rate, U.K. IFS, 11260B..ZF... (O.32) Money Market Rate, France IFS, 13260B..ZF... (O.33) Money Market Rate, Germany IFS, 13460B..ZF... (O.34) Money Market Rate, Italy IFS, 13660B..ZF... (O.35) Money Market Rate, Sweden IFS, 14460B..ZF... (O.36) Money Market Rate, Australia IFS, 19360B..ZF... (O.37) Money Market Rate, Denmark IFS, 12860B..ZF.. (O.38) Money Market Rate, Netherlands IFS, 13860B..ZF.. (O.39) Money Market Rate, Portugal IFS, 18260B..ZF.. (O.40) Money Market Rate, Japan IFS, 15860B..ZF.. (O.41) Industrial production, s.a., U.S. IFS, 11166..CZF... (O.42) Industrial production, s.a., Japan IFS, 15866..CZF... (O.43) Industrial production, s.a., Canada IFS, 15666..CZF... (O.44) Industrial production, s.a., Switzerland, quarterly IFS, 14666..BZF... (O.45) Industrial production, s.a., U.K. IFS, 11266..CZF... (O.46) Industrial production, s.a., France IFS, 13266..CZF... (O.47) Industrial production, s.a., Germany IFS, 13466..CZF... (O.48) Industrial production, s.a., Italy IFS, 13666..CZF... (O.49) Industrial production, s.a., Sweden IFS, 14466..CZF... (O.50) Industrial production, s.a., Australia, quarterly IFS, 19366..CZF... (O.51) Industrial production, s.a., Denmark IFS, 12866..BZF... (O.52) Industrial production, s.a., Denmark, quarterly IFS, 12866..BZF... (O.53) Industrial production, s.a., Netherlands IFS, 13866..CZF... (O.54) Industrial production, s.a., Portugal IFS, 18266..BZF... (O.55) Consumer price index, U.S. IFS, 11164...ZF... (O.56) Consumer price index, Japan IFS, 15864...ZF... (O.57) Consumer price index, Canada IFS, 15664...ZF... (O.58) Consumer price index, Switzerland IFS, 14664...ZF... (O.59) Consumer price index, U.K IFS, 11264...ZF... (O.60) Consumer price index, France IFS, 13264...ZF... (O.61) Consumer price index, Germany OECD MEI, Consumer prices: all items, 2000=100 (O.62) Consumer price index, Italy IFS, 13664...ZF... (O.63) Consumer price index, Sweden IFS, 14464...ZF... (O.64) Consumer price index, quarterly, Australia IFS, 19364...ZF... (O.65) Consumer price index, Denmark IFS, 12864...ZF... (O.66) Consumer price index, Netherlands IFS, 13864...ZF... (O.67) Consumer price index, Portugal IFS, 18264...ZF... Constructed Series Series Used (C.1) Change in log nominal exchange rate, U.S. Japan (O.1) (C.2) Change in log nominal exchange rate, U.S. Canada (O.2) (C.3) Change in log nominal exchange rate, U.S. Switzerland (O.3) (C.4) Change in log nominal exchange rate, U.S. U.K (O.4) (C.5) Change in log nominal exchange rate, U.S. France (O.5) (C.6) Change in log nominal exchange rate, U.S. Germany (O.6) (C.7) Change in log nominal exchange rate, U.S. Italy (O.7) (C.8) Change in log nominal exchange rate, U.S. Sweden (O.8) (C.9) Change in log nominal exchange rate, U.S. Australia (O.9) (C.10) Change in log nominal exchange rate, U.S. Denmark (O.10) (C.11) Change in log nominal exchange rate, U.S. Netherlands (O.11) (C.12) Change in log nominal exchange rate, U.S. Portugal (O.12) (C.13) M1 money supply differential, U.S. Japan (O.13), (O.16) (C.14) M1 money supply differential, U.S. Canada (O.13), (O.17) (C.15) M1 money supply differential, U.S. Switzerland (O.13), (O.18) (C.16) M0 money supply differential, U.S. U.K. (O.13), (O.19) (C.17) M1 money supply differential, U.S. France (O.13), (O.20) (C.18) M1 money supply differential, U.S. Germany (O.15), (O.21) (C.19) M2 money supply differential, U.S. Italy (O.14), (O.22) (C.20) M1 money supply differential, U.S. Sweden (O.13), (O.23) (C.21) M1 money supply differential, U.S. Australia (O.13), (O.24) (C.22) M1 money supply differential, U.S. Denmark (O.13), (O.25) (C.23) M2 money supply differential, U.S. Netherlands (O.14), (O.26) (C.24) M1 money supply differential, U.S. Portugal (O.13), (O.27) (C.25) Interest Rate Differential, U.S. Canada (O.28), (O.29) (C.26) Interest Rate Differential, U.S. Switzerland (O.28), (O.30) (C.27) Interest Rate Differential, U.S. - U.K. (O.28), (O.31) (C.28) Interest Rate Differential, U.S. France (O.28), (O.32) (C.29) Interest Rate Differential, U.S. Germany (O.28), (O.33) (C.30) Interest Rate Differential, U.S. Italy (O.28), (O.34) (C.31) Interest Rate Differential, U.S. Sweden (O.28), (O.35) (C.32) Interest Rate Differential, U.S. Australia (O.28), (O.36) (C.33) Interest Rate Differential, U.S. Denmark (O.28), (O.37) (C.34) Interest Rate Differential, U.S. Netherlands (O.28), (O.38) (C.35) Interest Rate Differential, U.S. Portugal (O.28), (O.39) (C.36) Interest Rate Differential, U.S. Japan (O.28), (O.40) (C.37) Industrial production, s.a., monthly, Switzerland (O.44) (C.38) Industrial production, s.a., monthly, Australia (O.50) (C.39) Industrial production, s.a., monthly, Denmark (O.51), (O.52) (C.40) Industrial production differential, U.S. Japan (O.41), (O.42) (C.41) Industrial production differential, U.S. Canada (O.41), (O.43) (C.42) Industrial production differential, U.S. Switzerland (O.41), (C.37) (C.43) Industrial production differential, U.S. U.K. (O.41), (O.45) (C.44) Industrial production differential, U.S. France (O.41), (O.46) (C.45) Industrial production differential, U.S. Germany (O.41), (O.47) (C.46) Industrial production differential, U.S. Italy (O.41), (O.48) (C.47) Industrial production differential, U.S. Sweden (O.41), (O.49) (C.48) Industrial production differential, U.S. Australia (O.41), (C.38) (C.49) Industrial production differential, U.S. Denmark (O.41), (C.39) (C.50) Industrial production differential, U.S. Netherlands (O.41), (O.53) (C.51) Industrial production differential, U.S. Portugal (O.41), (O.54) (C.52) Consumer price index, monthly, Australia (O.64) (C.53) Price differential, U.S. Japan (O.55), (O.56) (C.54) Price differential, U.S. Canada (O.55), (O.57) (C.55) Price differential, U.S. Switzerland (O.55), (O.58) (C.56) Price differential, U.S. U.K. (O.55), (O.59) (C.57) Price differential, U.S. France (O.55), (O.60) (C.58) Price differential, U.S. Germany (O.55), (O.61) (C.59) Price differential, U.S. Italy (O.55), (O.62) (C.60) Price differential, U.S. Sweden (O.55), (O.63) (C.61) Price differential, U.S. Australia (O.55), (C.52) (C.62) Price differential, U.S. Denmark (O.55), (O.65) (C.63) Price differential, U.S. Netherlands (O.55), (O.66) (C.64) Price differential, U.S. Portugal (O.55), (O.67) (C.60) Inflation, U.S. (O.55) (C.61) Inflation, Japan (O.56) (C.62) Inflation, Canada (O.57) (C.63) Inflation, Switzerland (O.58) (C.64) Inflation, U.K. (O.59) (C.65) Inflation, France (O.60) (C.66) Inflation, Germany (O.61) (C.67) Inflation, Italy (O.62) (C.68) Inflation, Sweden (O.63) (C.69) Inflation, Australia (C.52) (C.70) Inflation, Denmark (O.65) (C.71) Inflation, Netherlands (O.66) (C.72) Inflation, Portugal (O.67) Notes: FRED denotes Federal Reserve Economic Data, collected by Economic Research Division of Federal Reserve Bank of St. Louis, http://research.stlouisfed.org/fred2/ IFS denotes International Financial Statistics CD-ROM, November 2006 OECD MEI denotes OECD Main Economic Indicators Database, http://stats.oecd.org/mei/default.asp.  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