𝔖 Bobbio Scriptorium
✦   LIBER   ✦

EXCHANGE RATE MOVEMENTS AS EXPLAINED BY DEALERS

✍ Scribed by TIFFANY HUTCHESON

Book ID
118083510
Publisher
Economic Society of Australia
Year
2003
Tongue
English
Weight
675 KB
Volume
22
Category
Article
ISSN
0812-0439

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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