Showing 31 - 40 of 609
A large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate. However, there is evidence that the term structure of forward premia contains valuable information for forecasting...
Persistent link: https://www.econbiz.de/10012470115
Persistent link: https://www.econbiz.de/10011590704
Persistent link: https://www.econbiz.de/10005213483
We examine empirically whether asset prices and exchange rates may be admitted into a standard interest rate rule, using data for the US, the UK and Japan since 1979. Asset prices and exchange rates can be employed as information variables for a standard ‘Taylor-type’ rule or as...
Persistent link: https://www.econbiz.de/10005220907
Persistent link: https://www.econbiz.de/10005339404
This paper tests the expectations hypothesis (EH) using US monthly data for bond yields spanning the 1952-2003 sample period and ranging in maturity from 1 month to 10 years. We apply the Lagrange multiplier test developed by Bekaert and Hodrick (2001) and extend it to increase the test power:...
Persistent link: https://www.econbiz.de/10005352888
Persistent link: https://www.econbiz.de/10007302466
Persistent link: https://www.econbiz.de/10007305384
Persistent link: https://www.econbiz.de/10007441702
Persistent link: https://www.econbiz.de/10006878873