Pericoli, Marcello; Taboga, Marco - Banca d'Italia - 2009
, macroeconomic variables, and the exchange rate. The model allows to understand how exogenous shocks to the exchange rate affect the … yield curves, how bond yields co-move in different countries, and how the exchange rate is influenced by the interactions … excellent fit of the yield curves and we are able to account for up to 75 per cent of the variability of the exchange rate. We …