READ ME File For Dataset for the PhD Thesis "The Impact of Economic Uncertainty On the Financial Markets: Evidence from Interest Rates, Exchange Rates and Cryptocurrency"

Dataset DOI: 10.5258/SOTON/D2656

ReadMe Author: Hai Nam Nguyen, University of Southampton https://orcid.org/0000-0001-7768-2917

This dataset supports the thesis entitled "The Impact of Economic Uncertainty On the Financial Markets: Evidence from Interest Rates, Exchange Rates and Cryptocurrency"
AWARDED BY: Univeristy of Southampton
DATE OF AWARD: 2023

DESCRIPTION OF THE DATA
The dataset for the 3-paper-based thesis includes data of economic policy uncertainty, bond markets, exchange rates and Bitcoin prices. For the economic policy uncertainty, the thesis employs the economic policy uncertainty index, developed by Baker, Bloom, and Davis (2016), which are regularly updated at the website http://www.policyuncertainty.com. 
In the first paper, we obtain observations of nominal yields of zero-coupon bonds of  maturities across 1 to 12 months for short-term bonds, 2 to 30 years for medium and long-term bonds over the period from January 1994 until March 2019 from the database of the National Bank of UK (https://www.bankofengland.co.uk/statistics/yield-curves), US ( https://www.treasury.gov/resource-center/data-chartcenter/interest-rates.), and Japan (https://www.boj.or.jp/en/statistics/boj/other/mei) 
The control variables used for this paper include industrial production, consumer price index, and stock dividend yield obtained from Refinitive/Datastream. 
In the second paper, our database covers the monthly frequency spanning from 1989:M1 to 2020:M12 on spot exchange rates, Euro LIBOR interest rates on foreign and domestic currencies, and survey-based exchange rate forecasts. The spot exchange rates and LIBOR interest rates are collected from Refinitive/Datastream, while the survey-based exchange rate forecasts are collected from http FX4casts https://www.fx4casts.com/
In the third paper, the thesis employs the data of Bitcoin prices from the website of Coindesk (https://www.coindesk.com/price/).

This dataset contains:
Economic policy uncertainty index for different countries
Nominal yields of zero-coupon bonds of maturities (1-12 months, 2-30 years) 
Industrial production, consumer price index, and stock dividend yield for the US, UK, and Japan
Euro LIBOR interest rates, Spot exchange rates, and survey-based exchange rates for pairs of currencies (GBP/USD, CHF/USD, CAD/USD, EUR/USD, JPY/USD, AUD/USD)
Bitcoin prices


Date of data collection: 2018 - 2022


Date that the file was created: June, 2023