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Empirical exchange rate models and currency risk: some evidence from density forecasts

✍ Scribed by Lucio Sarno; Giorgio Valente

Book ID: 116658666
Publisher: Elsevier Science
Year: 2005
Tongue: English
Weight: 243 KB
Volume: 24
Category: Article
ISSN: 0261-5606
DOI: 10.1016/j.jimonfin.2004.12.011

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## Abstract This paper explores the ability of factor models to predict the dynamics of US and UK interest rate swap spreads within a linear and a non‐linear framework. We reject linearity for the US and UK swap spreads in favour of a regime‐switching smooth transition vector autoregressive (STVAR)