Basic information on financial databases: cook books, tips and tricks & economic news

This blog contains schematic easy to grasp - hands on - help in performing searches in economic databases, making work sets and making them inter-exchangeable between the databases.

* Disclaimer. I am not a finance professional. Most posts are the result of personal findings.

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3/22/2012

Exchange rates. Which Database offers them, and how?

This week I received an e-mail from a student who had difficulty in finding exchange rates in Datastream, in particular foward exchange. I think it's a good idea to find out which databases we offer do contain exchange rates, and to what extent / depth.

Wharton database WRDS  (subscribed by Vrije Universiteit)
. Federal Reserve Bank Reports
The WRDS FX database is based upon the Federal Reserve Board’s H.10 release and contains Foreign Exchange rates for over 30 world currencies and trade-weighted indices.  
All units are expressed in US $
. Penn World tables 7.0
The Penn World Tables provides national income accounts-type of variables converted to international prices
Exchange rates expressed in US $

IMF International Financial Statistics(needs Silverlight in order to work)

Monthly Bulletin of Statistics UN (open access)
No daily rates. Rates expressed in US $

Source OECD - stats
Exchange rates Expressed in US $

UNECE Statistical Database (open access)
Rates can be expressed in € Euro, US $ and Russian Ruble

Datastream (restricted to campus)
Datastream offers most possibilities. In the following part I'll show how rates relate and how they can be reversed or crossed (when needed)









Our example:







The commonly used exchange rate in Datastream is the WMR (WM/Reuters) You could use that as a filter (source)












Use datatypes presented in bold : EB (bid), ER (middle), EO (offered). No datatype gives the default datatype, which is EB



















Forward Exchange rates.
A customer asked:
The research requires data on forward exchange rates, interest rates, spot exchange rates and (less important) inflation. Datastream provides data for interest rates and spot exchange rates, however, it only supplies forward exchange rates for some currencies up to February 2007 (as fas as I can see this counts for GBP/USD, GBP/JPY and GBP/SWF)
Answer:
The forward rates that you are referring to here come from the data supplier known as Tullet Prebon.
. . .
There are however other Forward exchange rate suppliers available that does offer more history such as WMR and Thomson Reuters.
. . . 
If you want inverse rates, and they are not there, you can use this (1/X) in the command field of the Datastream Menu.  
Also see: http://financialresearch.blog2blog.nl/38526/Exchange+rates+and+cross+rates+in+Datastream.html

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