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What Does the Yield Curve Tell Us About Exchange Rate Predictability?

Citations

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Cited by:

  1. Lloyd, S. P. & Marin, E. A., 2019. "Exchange Rate Risk and Business Cycles," Cambridge Working Papers in Economics 1996, Faculty of Economics, University of Cambridge.
  2. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95, May.
  3. Wellmann, Dennis & Trück, Stefan, 2018. "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 56-75.
  4. Recchioni, Maria Cristina & Tedeschi, Gabriele, 2017. "From bond yield to macroeconomic instability: A parsimonious affine model," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1116-1135.
  5. Yu-chin Chen & Kwok Ping Tsang & Wen Jen Tsay, 2010. "Home Bias in Currency Forecasts," Working Papers 272010, Hong Kong Institute for Monetary Research.
  6. Anella Munro, 2014. "Exchange rates, expected returns and risk," Reserve Bank of New Zealand Discussion Paper Series DP2014/01, Reserve Bank of New Zealand.
  7. Giovanni Calice & Ming Zeng, 2021. "The term structure of sovereign credit default swap and the cross‐section of exchange rate predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 445-458, January.
  8. Aysun, Uluc & Lee, Sanglim, 2014. "Can time-varying risk premiums explain the excess returns in the interest rate parity condition?," Emerging Markets Review, Elsevier, vol. 18(C), pages 78-100.
  9. Ahmed, Jameel & Straetmans, Stefan, 2015. "Predicting exchange rate cycles utilizing risk factors," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 112-130.
  10. Laurini, Márcio P. & Caldeira, João F., 2016. "A macro-finance term structure model with multivariate stochastic volatility," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 68-90.
  11. Jacob Boudoukh & Ronen Israel & Matthew P. Richardson, 2020. "Biases in Long-Horizon Predictive Regressions," NBER Working Papers 27410, National Bureau of Economic Research, Inc.
  12. Martin McCarthy, Stephen Snudden, 2024. "Forecasts of Period-Average Exchange Rates: New Insights from Real-Time Daily Data," LCERPA Working Papers jc0148, Laurier Centre for Economic Research and Policy Analysis, revised Oct 2024.
  13. Gong, Yuting & Ma, Chao & Chen, Qiang, 2022. "Exchange rate dependence and economic fundamentals: A Copula-MIDAS approach," Journal of International Money and Finance, Elsevier, vol. 123(C).
  14. Yunjung Kim & Cheolbeom Park, 2020. "Are exchange rates disconnected from macroeconomic variables? Evidence from the factor approach," Empirical Economics, Springer, vol. 58(4), pages 1713-1747, April.
  15. Lelo de Larrea Alejandra, 2020. "Forecast Comparison of the Term Structure of Interest Rates of Mexico for Different Specifications of the Affine Model," Working Papers 2020-01, Banco de México.
  16. Elias, Nikolaos & Smyrnakis, Dimitris & Tzavalis, Elias, 2022. "Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 694-715.
  17. Stavrakeva, Vania & Tang, Jenny, 2016. "Exchange rates and the yield curve," Working Papers 16-21, Federal Reserve Bank of Boston.
  18. Travis Berge & Òscar Jordà & Alan M. Taylor, 2011. "Currency Carry Trades," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 7(1), pages 357-388.
  19. Ribeiro, Pinho J., 2017. "Selecting exchange rate fundamentals by bootstrap," International Journal of Forecasting, Elsevier, vol. 33(4), pages 894-914.
  20. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
  21. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
  22. Leo Krippner, 2009. "A theoretical foundation for the Nelson and Siegel class of yield curve models," Reserve Bank of New Zealand Discussion Paper Series DP2009/10, Reserve Bank of New Zealand.
  23. Cheung, Yin-Wong & Chinn, Menzie D. & Pascual, Antonio Garcia & Zhang, Yi, 2019. "Exchange rate prediction redux: New models, new data, new currencies," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 332-362.
  24. Wang, Xi & Ma, Yongjun, 2025. "Dynamic estimation and analysis of the currency-asset portfolio of global foreign exchange reserves: A novel approach," Finance Research Letters, Elsevier, vol. 76(C).
  25. Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  26. Kristoufek, Ladislav & Vosvrda, Miloslav, 2016. "Gold, currencies and market efficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 27-34.
  27. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2020. "International effects of a compression of euro area yield curves," Journal of Banking & Finance, Elsevier, vol. 113(C).
  28. Bruno Feunou & Jean-Sébastien Fontaine & Ingomar Krohn, 2022. "Real Exchange Rate Decompositions," Discussion Papers 2022-6, Bank of Canada.
  29. Aryo Sasongko & Cicilia Anggadewi Harun & Geyana Ledy Fista & Kusfisiami Wima Mustika & Aninditha Kemala Dinianyadharani & Karanissa Larasati & Puput Kurniati & Dila Safitri, 2024. "Modeling And Analysis Of Yield Curve And Exchange Rate Formation In Pro-Market Monetary Operations," Working Papers WP/09/2024, Bank Indonesia.
  30. Yung, Julieta, 2021. "Can interest rate factors explain exchange rate fluctuations?," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
  31. Martin McCarthy & Stephen Snudden, 2025. "Forecasts of Period-average Exchange Rates: Insights from Real-time Daily Data," RBA Research Discussion Papers rdp2025-09, Reserve Bank of Australia.
  32. Rui Hua & Wenzhe Hu & Xiuju Zhao, 2020. "Research on RMB exchange rate forecast based on the neural network model and the Nelson–Siegel model," Risk Management, Palgrave Macmillan, vol. 22(3), pages 219-237, September.
  33. Kim, Young Min & Lee, Seojin, 2020. "Exchange rate predictability: A variable selection perspective," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 117-134.
  34. Robert Brooks & Brandon N. Cline & Pavel Teterin & Yu You, 2022. "The information in global interest rate futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1135-1166, June.
  35. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
  36. David Y. Aharon & Zaghum Umar & Xuan Vinh Vo, 2021. "Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-25, December.
  37. Helder Ferreira de Mendonça & Luciano Vereda & Luan Mateus Matos de Araújo, 2025. "Fundamentals Models Versus Random Walk: Evidence From an Emerging Economy," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(6), pages 1884-1906, September.
  38. Holger Fink & Andreas Fuest & Henry Port, 2018. "The Impact of Sovereign Yield Curve Differentials on Value-at-Risk Forecasts for Foreign Exchange Rates," Risks, MDPI, vol. 6(3), pages 1-19, August.
  39. Afees A. Salisu & Juncal Cuñado & Kazeem Isah & Rangan Gupta, 2021. "Stock markets and exchange rate behavior of the BRICS," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1581-1595, December.
  40. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
  41. Andersen, Torben G. & Todorov, Viktor & Ubukata, Masato, 2021. "Tail risk and return predictability for the Japanese equity market," Journal of Econometrics, Elsevier, vol. 222(1), pages 344-363.
  42. Darvas, Zsolt & Schepp, Zoltán, 2024. "Exchange rates and fundamentals: Forecasting with long maturity forward rates," Journal of International Money and Finance, Elsevier, vol. 143(C).
  43. Huseyin Ozturk, 2020. "The shape of sovereign yield curve in an emerging economy: Do macroeconomic or external factors matter?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(1), pages 83-112, February.
  44. Baghestani, Hamid & Toledo, Hugo, 2017. "Do analysts' forecasts of term spread differential help predict directional change in exchange rates?," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 62-69.
  45. Gülden Poyraz & Ahmet İncekara, 2021. "On Determinants of Exchange Market Pressure in Turkey: The Role of Model Uncertainty," Journal of Economy Culture and Society, Istanbul University, Faculty of Economics, vol. 63(63), pages 199-211, June.
  46. Levant, Jared & Ma, Jun, 2016. "Investigating United Kingdom's monetary policy with Macro-Factor Augmented Dynamic Nelson–Siegel models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 117-127.
  47. Yu-chin Chen & Kwok Ping Tsang, 2009. "A Macro-Finance Approach to Exchange Rate Determination," Working Papers UWEC-2009-24-R, University of Washington, Department of Economics, revised May 2010.
  48. Ishii, Hokuto, 2020. "Arbitrage-free relative Nelson–Siegel model," Finance Research Letters, Elsevier, vol. 37(C).
  49. Vania Stavrakeva & Jenny Tang, 2015. "Exchange rates and monetary policy," Working Papers 15-16, Federal Reserve Bank of Boston.
  50. Feng, Wenjun & Zhang, Zhengjun, 2023. "Currency exchange rate predictability: The new power of Bitcoin prices," Journal of International Money and Finance, Elsevier, vol. 132(C).
  51. Gräb, Johannes & Kostka, Thomas, 2018. "Predicting risk premia in short-term interest rates and exchange rates," Working Paper Series 2131, European Central Bank.
  52. Christodoulakis, George, 2020. "Estimating the term structure of commodity market preferences," European Journal of Operational Research, Elsevier, vol. 282(3), pages 1146-1163.
  53. Engel, Charles & Wu, Steve Pak Yeung, 2023. "Forecasting the U.S. Dollar in the 21st Century," Journal of International Economics, Elsevier, vol. 141(C).
  54. Paolo Manasse & Graziano Moramarco & Giulio Trigilia, 2024. "Exchange rates and political uncertainty: the Brexit case," Economica, London School of Economics and Political Science, vol. 91(362), pages 621-652, April.
  55. Lee, Seojin & Kim, Young Min, 2019. "Inflation expectation, monetary policy credibility, and exchange rates," Finance Research Letters, Elsevier, vol. 31(C).
  56. Ferdinand Dreher & Johannes Gräb & Thomas Kostka, 2020. "From carry trades to curvy trades," The World Economy, Wiley Blackwell, vol. 43(3), pages 758-780, March.
  57. Jian Wang & Jason J. Wu, 2012. "The Taylor Rule and Forecast Intervals for Exchange Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 103-144, February.
  58. Yu-chin Chen & Kwok Ping Tsang, 2009. "A Macro-Finance Approach to Exchange Rate Determination," Working Papers UWEC-2009-24-R, University of Washington, Department of Economics, revised May 2010.
  59. Young Min Kim & Seojin Lee, 2017. "The Role of Unobservable Fundamentals in Korea Exchange Rate Fluctuations: Bayesian Approach," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 23(3), pages 1-22, September.
  60. Sai Ma & Shaojun Zhang, 2024. "Housing Cycles and Exchange Rates," Management Science, INFORMS, vol. 70(9), pages 5646-5666, September.
  61. Sowmya, Subramaniam & Prasanna, Krishna, 2018. "Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 178-192.
  62. Lara Joy Dixon & Hoje Jo, 2017. "Brexit¡¯s Protectionist Policy and Implications for the British Pound," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(4), pages 7-22, October.
  63. Hokuto Ishii, 2018. "Modeling and Predictability of Exchange Rate Changes by the Extended Relative Nelson–Siegel Class of Models," IJFS, MDPI, vol. 6(3), pages 1-15, August.
  64. Gonzalo, Jesús & Pitarakis, Jean-Yves, 2024. "Out-of-sample predictability in predictive regressions with many predictor candidates," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1166-1178.
  65. Stona, Filipe & Caldeira, João F., 2019. "Do U.S. factors impact the Brazilian yield curve? Evidence from a dynamic factor model," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 76-89.
  66. Beckmann, Joscha, 2021. "Measurement and effects of euro/dollar exchange rate uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 773-790.
  67. Davood Pirayesh Neghab & Mucahit Cevik & M. I. M. Wahab & Ayse Basar, 2025. "Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning," Computational Economics, Springer;Society for Computational Economics, vol. 65(4), pages 1857-1899, April.
  68. Travis J. Berge, 2014. "Forecasting Disconnected Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 713-735, August.
  69. Maio, Paulo & Zeng, Ming, 2023. "On the driving forces of real exchange rates: Is the Japanese Yen different?," Journal of Empirical Finance, Elsevier, vol. 74(C).
  70. Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017. "Evaluation of exchange rate point and density forecasts: An application to Brazil," International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.
  71. Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014. "Countercyclical currency risk premia," Journal of Financial Economics, Elsevier, vol. 111(3), pages 527-553.
  72. Efthymios Argyropoulos & Nikolaos Elias & Dimitris Smyrnakis & Elias Tzavalis, 2021. "Can country-specific interest rate factors explain the forward premium anomaly?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(2), pages 252-269, April.
  73. Liu, Li & Tan, Siming & Wang, Yudong, 2020. "Can commodity prices forecast exchange rates?," Energy Economics, Elsevier, vol. 87(C).
  74. Anella Munro, 2016. "Bond premia, monetary policy and exchange rate dynamics," Reserve Bank of New Zealand Discussion Paper Series DP2016/11, Reserve Bank of New Zealand.
  75. Seungho Baek & Jeong Wan Lee & Kyong Joo Oh & Myoungji Lee, 2020. "Yield curve risks in currency carry forwards," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 651-670, April.
  76. Ismailov, Adilzhan & Rossi, Barbara, 2018. "Uncertainty and deviations from uncovered interest rate parity," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 242-259.
  77. Maria Cristina Recchioni & Gabriele Tedeschi, 2016. "From bond yield to macroeconomic instability: The effect of negative interest rates," Working Papers 2016/06, Economics Department, Universitat Jaume I, Castellón (Spain).
  78. Sang-Heon Lee, 2025. "An Alternative Approach for Determining the Time-Varying Decay Parameter of the Nelson-Siegel Model," Computational Economics, Springer;Society for Computational Economics, vol. 65(5), pages 2965-2990, May.
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