Can Term-structure Models Predict Currency Movements?

Can Term-structure Models Predict Currency Movements?
Author: Grainne O'Sullivan
Publisher:
Total Pages: 0
Release: 2006
Genre:
ISBN:


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Can Term-structure Models Predict Currency Movements?
Language: en
Pages: 0
Authors: Grainne O'Sullivan
Categories:
Type: BOOK - Published: 2006 - Publisher:

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Exchange Rates and Interest Rates
Language: en
Pages:
Authors: A. Can Inci
Categories:
Type: BOOK - Published: 2005 - Publisher:

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We construct an international term structure model that has excellent empirical performance in tracking movements of exchange rates and currency returns. The fo
Can Affine Term Structure Models Help Us Predict Exchange Rates?
Language: en
Pages: 43
Authors: Antonio Diez de los Rios
Categories: Foreign exchange rates
Type: BOOK - Published: 2006 - Publisher:

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The Out-of-sample Success of Term Structure Models as Exchange Rate Predictors
Language: en
Pages: 54
Authors: Richard H. Clarida
Categories: Economics
Type: BOOK - Published: 2002 - Publisher:

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A large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of
Modeling the Term Structure of Exchange Rate Expectations
Language: en
Pages: 37
Authors: Christian Bauer
Categories:
Type: BOOK - Published: 2007 - Publisher:

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Recent approaches in international finance on exchange rates explicitly account for the maturity of interest rates. We integrate the interest parity idea into a