This thesis contributes to three major fields in the international finance literature: forward premium anomaly, monetary policy and exchange rate determination, and measuring monetary policy expectations from asset prices. In the first chapter, I develop a production-based asset pricing model...

This dissertation contains applications of agent-based financial market models and nonlinear econometric methods in financial economics. The first part deals with the analysis of the effectiveness of currency transaction taxes within financial market models with traders with heterogeneous...

The subject of unobservable variables encompasses this thesis. These latent (i.e., unobservable) variables must be inferred using statistical models or observable proxies. The objectives of my doctoral thesis are to develop and test new statistical models to infer these variables and link them...