1. We extract the forward rates and spot rates from DataStream. Our data gathering procedure follows the one used by Hassan and Mano;Hungary Kong;HSBC, and Barclays Bank PLC (BB). Markets Company/Reuters (WM/Reuters),2014
2. we also exclude observations for which covered interest parity seems to be violated. 46 46 These observations are excluded from the sample and are as follow: Italy 1/1985 and 2/1985;Thomson/Reuters;HSBC and Barclays Bank data sets in order. Following Hassan and Mano,1990
3. Affine term structure models and the forward premium anomaly;David K Backus;Journal of Finance,2001
4. Consumption and real exchange rates in dynamic economies with non-traded goods;David K Backus;Journal of International Economics,1993