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Can Affine term structure models help us predict exchange Rates?

This paper proposes an arbitrage-free model to extract the information that the term structure of forward premia contains for forecasting future spot exchange rates. Using monthly data on four U.S. dollar bilateral exchange rates, we find evidence that this model provides statistically better forecasts than those produced by a random walk for the British pound and Canadian dollar exchange rates. Negative results for the German mark/Euro and Swiss franc are explained by a rejection of the restrictions imposed by the term structure model..Printed journal

Ketersediaan

Call NumberLocationAvailable
PSB lt.dasar - Pascasarjana1
Penerbit The Ohio State University.,
Edisi -
Subjek Foreign exchange rates
Foreign exchange markets
Models
Forecasting techniques
studies
Manycountries
International comparisons
ISBN/ISSN 222879
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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