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The exchange rate and the term structure of interest rates in Mexico

โœ Scribed by Masao Ogaki; Julio A. Santaella


Book ID
117986531
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
151 KB
Volume
63
Category
Article
ISSN
0304-3878

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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