Exchange rates and interest rates: can term structure models explain currency movements?

DOI10.1016/S0165-1889(03)00081-2zbMath1200.91294OpenAlexW2027531303MaRDI QIDQ953668

Ahmet Can Inci, Biao Lu

Publication date: 6 November 2008

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

Full work available at URL: https://doi.org/10.1016/s0165-1889(03)00081-2

zbMATH Keywords

model selectionterm structure of interest ratesexchange rates

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation ⋮ A quadratic Kalman filter ⋮ A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates

Cites Work

• Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• Unnamed Item

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