Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects
Author:
Funder
HFRI
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference39 articles.
1. Common factors and local factors: Implications for term structures and exchange rates;Ahn;Journal of Financial and Quantitative Analysis,2004
2. Yield curve predictors of foreign exchange returns;Ang,2010
3. Can country-specific interest rate factors explain the forward premium anomaly?;Argyropoulos;Journal of Economics and Finance,2021
4. Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects;Argyropoulos;Studies in Nonlinear Dynamics & Econometrics,2015
5. Forecasting economic activity from yield curve factors;Argyropoulos;The North American Journal of Economics and Finance,2016
Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. The forward premium anomaly and the currency carry trade hypothesis;The Quarterly Review of Economics and Finance;2024-06
2. Asymmetric impact of Sino-US interest rate differentials and economic policy uncertainty ratio on RMB exchange rate;Journal of International Financial Markets, Institutions and Money;2022-05
3. Predictive Capabilities of Macroeconomic Exchange Rate Determinants;SSRN Electronic Journal;2022
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