Bonds, currencies and expectational errors

DOI10.1016/J.JEDC.2023.104790MaRDI QIDQ6556145zbMATH OpenFDO

Authors Eleonora Granziera, Markus Sihvonen

Publication date 17 June 2024

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JEDC.2023.104790

zbMATH Keywords

bond and currency premiainterest rate forecast errorssticky expectations

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Bond risk premia in consumption-based models
• Forward and spot exchange rates in a multi-currency world
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• International liquidity and exchange rate dynamics
• Investor overconfidence and the forward premium puzzle

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