Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?

DOI10.1016/S0165-1889(01)00048-3zbMath1033.91501MaRDI QIDQ1605424

Robert Hodrick, Maria Vassalou

Publication date: 15 July 2002

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

Exchange rateInterest rateBond returnsMulti-country models

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (3)

Cohort and value-based multi-country longevity risk management ⋮ Exchange rates and interest rates: can term structure models explain currency movements? ⋮ A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• A Theory of the Term Structure of Interest Rates
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Common risk factors in the returns on stocks and bonds

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