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st: Re: Currency_Time-series


From   "Rodrigo A. Alfaro" <[email protected]>
To   <[email protected]>
Subject   st: Re: Currency_Time-series
Date   Tue, 3 Apr 2007 14:05:45 -0400

Bilal

I read some articles in applied finance that uses monthly data combinated with daily frequency. In the bond markets, they used the last day of the month data from the daily dataset. I think that you can do the same... but I will be suspicious for the case of quarterly.

R.



----- Original Message ----- From: "b.qureishi" <[email protected]>
To: <[email protected]>
Cc: <[email protected]>
Sent: Tuesday, April 03, 2007 12:51 PM
Subject: st: Currency_Time-series



Dear All,

My name is Bilal Qureishi. I am currently studying for a Masters In Comparative
Economics, at University College, London.

I will be conducting an empirical study to asses the affects of "The release of
US Macro data on daily currency prices"- and whether or not such fundamental
releases start certain trends.
I have about 30 years of data for cable, eur/usd and usd/jpy.-dependant
variables.
My independent variables consist of GDP, PPI, CPI, INTEREST RATES and
UNEMPLOYMENT DATA.
The frequency of my independent variables in monthly, excluding GDP which is
quarterly, over 30 years.
The frequency of my dependant variables is daily over 30 years.

In light of the above, my data is no-doubt time-series. My question is, how to I
get my independent variables to reconcile with my dependant variables? I.e how
can I get for example quarterly gdp figures to translate to a daily fx figure?-
my lecturer who is not a currency whiz suggests that I should convert my daily
rates into quarterly rates. I could do this, but believe that it will not
directly contribute to what I want to do.

Your thoughts, suggestions and direction would be most appreciated.

Regards,

Bilal Al-Qureishi





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