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

DOI10.1016/S0165-1889(03)00081-2MaRDI QIDQ953668zbMATH OpenOpenAlexFDO

Authors Ahmet Can Inci, Biao Lü

Publication date 6 November 2008

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

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

zbMATH Keywords

model selectionexchange ratesterm structure of interest rates

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?

Cited in

(6)

• A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates
• Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?
• A quadratic Kalman filter
• Are international fund flows related to exchange rate dynamics?
• A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
• A Quantity-Driven Theory of Term Premia and Exchange Rates

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