Publications and Research
Research
Working papers
2006
Index of Working Papers | Index of Technical Reports| Title | Can Affine Term Structure Models Help Us Predict Exchange Rates? |
| Author | Antonio Diez de los Rios |
| Type | Working Paper 2006-27 |
| Date of publication |
August 2006 |
| Language | English |
| Abstract |
The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression. In addition, the model is able to reproduce the forward premium puzzle. |
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Bank topic index |
Exchange rates; Interest rates; Econometric and statistical methods |
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JEL classification |
E43, F31, G12, G15 |
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