st: Re: Currency_Time-series

["Rodrigo A. Alfaro" <raalfaroa@gmail.com>]

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" <b.qureishi@ucl.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Cc: <bill138@gmail.com>
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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