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Currency Crises and the Term Structure of Interest Rates

โœ Scribed by Alan Sutherland


Publisher
Springer US
Year
2006
Tongue
English
Weight
239 KB
Volume
17
Category
Article
ISSN
0923-7992

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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 forward premium puzzle is accounted for, yet the model does not have the undesirable properties found in Backus et al. (J. Finance 56 (2001) 2