Showing 1 - 6 of 6
We investigate the Expectations Hypotheses of the term structure of interest rates and of the foreign exchange market using vector autoregressive methods for the U.S. dollar, Deutsche mark, and British pound interest rates and exchange rates. In addition to standard Wald tests, we formulate...
Persistent link: https://www.econbiz.de/10012471161
This paper examines uncovered interest rate parity (UIRP) and the expectations hypotheses of the term structure (EHTS) at both short and long horizons. The statistical evidence against UIRP is mixed and is currency- not horizon-dependent. Economically, the deviations from UIRP are less...
Persistent link: https://www.econbiz.de/10012469920
We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the …
Persistent link: https://www.econbiz.de/10012470517
econometric performance of regime-switching models for interest rate data from the US, Germany and the UK. There is strong …
Persistent link: https://www.econbiz.de/10012472295
States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector …-problem effects is largely consistent with term structure data from the U.S., U.K., and Germany …
Persistent link: https://www.econbiz.de/10012472666
The paper characterizes predictable components in excess rates of returns on major equity and foreign exchange markets using lagged excess returns, dividend yields, and forward premiums as instruments. Vector autoregressive techniques demonstrate one-step-ahead predictability and provide implied...
Persistent link: https://www.econbiz.de/10012475210