Macro Variables Do Drive Exchange Rate Movements: Evidence from a No-Arbitrage Model
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Elsevier BV
Reference70 articles.
1. Common Factors and Local Factors: Implications for Term Structures and Exchange Rates;Dong-Hyun Ahn;Journal of Financial and Quantitative Analysis,2004
2. Pricing Foreign Currency Options under Stochastic Interest Rates;Kaushik Amin;Journal of International Money and Finance,1991
3. A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables;Andrew Ang;Journal of Monetary Economics,2003
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3. A GLOBAL MODEL OF INTERNATIONAL YIELD CURVES: NO-ARBITRAGE TERM STRUCTURE APPROACH;International Journal of Finance & Economics;2013-02-22
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