Can interest rate factors explain exchange rate fluctuations?
نویسندگان
چکیده
منابع مشابه
Can Interest Rate Factors Explain Exchange Rate Fluctuations?
This paper explores whether interest rate factors, derived from the yield curve, can explain exchange rate fluctuations at different horizons. Using a dynamic term structure model under no-arbitrage, exchange rates are modeled as the ratio of two countries’ stochastic discount factors. Key to this framework is that factors are observable, which allows the model to be estimated by Maximum Likeli...
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ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 2021
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2021.01.005