In this exercise, we take a look at the currency carry trade. Sheet Part IIA includes the

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Question:

In this exercise, we take a look at the currency carry trade. Sheet “Part IIA” includes the end of month exchange rate USD/AUD and JPY/USD. Sheet “Part IIB” includes the monthly interest rates for USA, Japan and Australia. The period is 31-Jan-2003 to 31-Dec-2021. Note: To be consistent, we will use the quote 1AUD = USD, 1USD = JPY, and 1AUD = JPY, in answers to all of the questions in this part.

Report the mean, standard deviation, skewness, kurtosis and maximum and minimum of the interest rate differences between JPY and USD, and between USD and AUD.

1-month rate	% per annum
	US	AU(BBSW)	JP
31/01/2003	1,165	4,8183	0,001
28/02/2003	1,2006	4,8	0,001
31/03/2003	1,1598	4,8167	0,009
30/04/2003	1,1295	4,825	0,012
30/05/2003	1,165	4,8033	0,006
30/06/2003	0,7832	4,8	0,004
31/07/2003	0,8902	4,8083	0,002
29/08/2003	0,9766	4,8383	0,0075
30/09/2003	0,8749	4,8733	0,009
31/10/2003	0,9614	4,9283	0,002
28/11/2003	0,9512	5,3233	0,001
31/12/2003	0,8953	5,46	0,0045
30/01/2004	0,8444	5,5033	0,001
27/02/2004	0,9462	5,5467	0,001
31/03/2004	0,9564	5,4583	0,0065
30/04/2004	0,829	5,4683	0,003
31/05/2004	0,9308	5,4467	0,001
30/06/2004	1,1499	5,4383	0,009
30/07/2004	1,2515	5,4133	0,006
31/08/2004	1,457	5,4	0,006
30/09/2004	1,461	5,3933	0,006
29/10/2004	1,741	5,4	0,006
30/11/2004	2,067	5,4033	0,001
31/12/2004	1,873	5,4133	0,001
31/01/2005	2,01	5,4033	0,001
28/02/2005	2,503	5,5917	0,001
31/03/2005	2,62	5,83	0,002
29/04/2005	2,661	5,6583	0,001
31/05/2005	2,793	5,6267	0,001
30/06/2005	2,992	5,635	0,001
29/07/2005	3,231	5,6083	0,001
31/08/2005	3,4	5,6033	0,001
30/09/2005	3,124	5,6267	0,001
31/10/2005	3,74	5,6083	0,001
30/11/2005	3,996	5,5983	0,001
30/12/2005	4,03	5,6317	0,001
31/01/2006	4,359	5,5983	0,001
28/02/2006	4,476	5,595	0,001
31/03/2006	4,653	5,595	0,011
28/04/2006	4,581	5,7333	0,029
31/05/2006	4,752	5,85	0,09
30/06/2006	4,484	5,8783	0,1625
31/07/2006	5,014	6,098	0,315
31/08/2006	5,1243	6,1267	0,3295
29/09/2006	4,5813	6,0917	0,31
31/10/2006	5,1922	6,2883	0,3
30/11/2006	5,252	6,345	0,34
29/12/2006	4,7184	6,38	0,3365
31/01/2007	4,9871	6,3667	0,312
28/02/2007	5,2323	6,32	0,565
30/03/2007	5,066	6,4617	0,555
30/04/2007	4,749	6,3367	0,554
31/05/2007	4,7566	6,34	0,549
29/06/2007	4,2652	6,34	0,5595
31/07/2007	5,109	6,52	0,51
31/08/2007	4,1997	6,8567	0,77
28/09/2007	3,3062	6,77	0,535
31/10/2007	3,9924	6,7983	0,54
30/11/2007	3,6382	6,94	0,526
31/12/2007	2,6271	7,15	0,589
31/01/2008	1,455	7,2	0,53
29/02/2008	1,944	7,52	0,529
31/03/2008	1,17	7,68	0,529
30/04/2008	1,206	7,5733	0,5595
30/05/2008	2,011	7,5	0,564
30/06/2008	1,557	7,61	0,564
31/07/2008	1,506	7,5183	0,5625
29/08/2008	1,639	7,265	0,5475
30/09/2008	0,553	7,38	0,5475
31/10/2008	0,117	5,9317	0,606
28/11/2008	0,036	4,65	0,606
31/12/2008	0,036	4,3567	0,606