Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5083766 | International Review of Economics & Finance | 2012 | 24 Pages |
Abstract
Estimating the model with US and German data, we find that time-varying bond risk premia account for a significant portion of the variability of the exchange rate: apparently, a currency tends to appreciate when investors expect large capital gains on long-term bonds denominated in that currency. A number of other novel empirical findings emerge.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Marcello Pericoli, Marco Taboga,