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Exchange rates and interest rates: can term structure models explain currency movements?

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Author Info
Inci, Ahmet Can
Lu, Biao
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 28 (2004)
Issue (Month): 8 (June)
Pages: 1595-1624
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Handle: RePEc:eee:dyncon:v:28:y:2004:i:8:p:1595-1624

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  1. Taboga, Marco & Pericoli, Marcello, 2008. "Bond risk premia, macroeconomic fundamentals and the exchange rate," MPRA Paper 9523, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  2. Zsolt Darvas & Gábor Rappai & Zoltán Schepp, 2007. "Uncovering Yield Parity: A New Insight into the UIP Puzzle through the Stationarity of Long Maturity Forward Rates," Money Macro and Finance (MMF) Research Group Conference 2006 84, Money Macro and Finance Research Group. [Downloadable!]
    Other versions:
  3. Daal, Elton, 2004. "Quadratic term structure models with jumps in incomplete currency markets," Working Papers 2004-04, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  4. Xibin Zhang & Robert D. Brooks & Maxwell L. King, 2007. "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Monash Econometrics and Business Statistics Working Papers 11/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  5. Georg Mosburger & Paul Schneider, 2005. "Modelling International Bond Markets with Affine Term Structure Models," Finance 0509003, EconWPA. [Downloadable!]
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