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Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?. (2002). Hodrick, Robert ; Vassalou, Maria.
In: Journal of Economic Dynamics and Control.
RePEc:eee:dyncon:v:26:y:2002:i:7-8:p:1275-1299.

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Cited: 23

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Cites: 20

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  1. The information in joint term structures of bond yields. (2023). Spencer, Peter ; Raczko, Marek ; Meldrum, Andrew.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:134:y:2023:i:c:s0261560623000293.

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  2. Tracking Exchange Rate Determinants amid the Pandemic. (2022). Yuki, Masujima .
    In: Discussion papers.
    RePEc:eti:dpaper:22001.

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  3. Systematic variations in exchange rate returns. (2022). Chang, Yu-Chien ; Liu, De-Chih.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:82:y:2022:i:c:p:569-583.

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  4. Exchange Rates Co-movement and International Trade. (2019). Babii, Aleksandra.
    In: 2019 Meeting Papers.
    RePEc:red:sed019:1150.

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  5. Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?. (2019). Verdelhan, Adrien ; Lustig, Hanno.
    In: American Economic Review.
    RePEc:aea:aecrev:v:109:y:2019:i:6:p:2208-44.

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  6. Nominal Exchange Rate Stationarity and Long-Term Bond Returns. (2017). Verdelhan, Adrien ; Lustig, Hanno ; Stathopoulos, Andreas.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:1633.

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  7. Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates. (2017). Lustig, Hanno ; Richmond, Robert J.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:23773.

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  8. International house price cycles, monetary policy and credit. (2017). Bauer, Gregory.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:74:y:2017:i:c:p:88-114.

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  9. Dynamic information spillovers in intraregionally-focused spot and forward currency markets. (2017). Fawson, Chris ; Yang, Jiao-Hui ; Wang, XI.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:71:y:2017:i:c:p:78-110.

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  10. Spillover effects of credit default risk in the euro area and the effects on the euro: A GVAR approach. (2016). Bettendorf, Timo.
    In: Discussion Papers.
    RePEc:zbw:bubdps:422016.

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  11. Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?. (2016). Verdelhan, Adrien ; Lustig, Hanno.
    In: 2016 Meeting Papers.
    RePEc:red:sed016:1183.

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  12. Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?. (2016). Verdelhan, Adrien ; Lustig, Hanno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:22023.

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  13. Third-country effects on the exchange rate. (2015). Mark, Nelson ; Berg, Kimberly.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:96:y:2015:i:2:p:227-243.

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  14. Third-Country Effects on the Exchange Rate. (2013). Mark, Nelson ; Berg, Kimberly.
    In: 2013 Meeting Papers.
    RePEc:red:sed013:1050.

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  15. A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates. (2011). Ng, David ; LI, HAITAO ; Egorov, Alexei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:162:y:2011:i:1:p:55-70.

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  16. A structural investigation of third-currency shocks to bilateral exchange rates. (2007). Melecký, Martin ; Melecky, Martin.
    In: MPRA Paper.
    RePEc:pra:mprapa:7402.

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  17. Currency Preferences in a Tri-Polar Model of Foreign Exchange. (2007). Melecký, Martin.
    In: MPRA Paper.
    RePEc:pra:mprapa:4186.

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  18. Currency preferences and the Australian dollar. (2007). Melecký, Martin ; Kingston, Geoffrey.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:26:y:2007:i:3:p:454-467.

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  19. Exchange Rates and the Conversion of Currency-Specific Risk Premia. (2007). Eisenberg, Astrid ; Rudolf, Markus.
    In: European Financial Management.
    RePEc:bla:eufman:v:13:y:2007:i:4:p:672-701.

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  20. Affine term structure models for the foreign exchange risk premium. (2006). Benati, Luca.
    In: Bank of England working papers.
    RePEc:boe:boeewp:291.

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  21. Can Affine Term Structure Models Help Us Predict Exchange Rates?. (2006). Diez de los Rios, Antonio.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-27.

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  22. Modelling International Bond Markets with Affine Term Structure Models. (2005). Schneider, Paul ; Mosburger, Georg.
    In: Finance.
    RePEc:wpa:wuwpfi:0509003.

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  23. Exchange rates and interest rates: can term structure models explain currency movements?. (2004). Inci, Ahmet Can ; Lu, Biao.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:28:y:2004:i:8:p:1595-1624.

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References

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Cocites

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  1. Forward and Spot Exchange Rates in a Multi-currency World. (2014). Mano, Rui ; Hassan, Tarek.
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  2. Does Uncovered Interest Rate Parity Hold After All?. (2013). Scholtens, Bert ; Omer, Muhammad ; de Haan, Jakob.
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  3. Properties of Foreign Exchange Risk Premiums. (2012). Wagner, Christian ; Sarno, Lucio ; Schneider, Paul.
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  4. Estimation of the Time-Varying Risk Premium in the Czech Foreign Exchange Market. (2012). Pota, Vit .
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  5. The Thursday effect of the forward premium puzzle. (2012). Ding, Liang.
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  6. International Risk Cycles. (2011). Verdelhan, Adrien ; Siemer, Michael ; Gourio, Francois.
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  7. Uncovered interest-rate parity over the past two centuries. (2011). Wu, Liuren ; Lothian, James ; JamesR. Lothian, .
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  8. Spot and forward volatility in foreign exchange. (2011). Tsiakas, Ilias ; Sarno, Lucio ; Della Corte, Pasquale.
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  9. Possible solutions to the forward bias paradox. (2011). Richard T., Baillie, .
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  10. Properties of Foreign Exchange Risk Premiums. (2011). Wagner, Christian ; Schneider, Paul ; Sarno, Lucio.
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  11. Properties of Foreign Exchange Risk Premia. (2010). Wagner, Christian ; Schneider, Paul ; Sarno, Lucio.
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  12. The role of exchange rates in intertemporal risk-return relations. (2010). Wu, Liuren ; Bali, Turan G..
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  13. Currency crisis and the forward discount bias: Evidence from emerging economies under breaks. (2010). Mollick, Andre ; Bai, Shuming.
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  14. Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation. (2009). Wagner, Christian.
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  15. Bond risk premia, macroeconomic fundamentals and the exchange rate. (2008). Taboga, Marco ; Pericoli, Marcello.
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  16. Is the forward bias economically small? Evidence from European rates. (2008). Wu, Xueping ; Vandebroek, Martina ; Sercu, Piet.
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  19. Empirical Test of Affine Stochastic Discount Factor Model of Currency Pricing. (2008). Lebedinsky, Alex .
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  49. Daily Exchange Rate Behaviour and Hedging of Currency Risk. (1999). van Dijk, Herman ; Bos, Charles ; Mahieu, Ronald J..
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