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We investigate the Expectations Hypotheses of the term structure of interest rates and of the foreign exchange market using vector autoregressive methods for the U.S. dollar, Deutsche mark, and British pound interest rates and exchange rates. In addition to standard Wald tests, we formulate...
Persistent link: https://www.econbiz.de/10012471161
States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector …-problem effects is largely consistent with term structure data from the U.S., U.K., and Germany …
Persistent link: https://www.econbiz.de/10012472666
The paper characterizes predictable components in excess rates of returns on major equity and foreign exchange markets using lagged excess returns, dividend yields, and forward premiums as instruments. Vector autoregressive techniques demonstrate one-step-ahead predictability and provide implied...
Persistent link: https://www.econbiz.de/10012475210