Chen, Yu-chin; Tsang, Kwok Ping - Hong Kong Institute for Monetary Research (HKIMR), … - 2010
rate determination, which models the nominal exchange rate as the discounted present value of its expected future … differences to proxy expected movements in future exchange rate fundamentals. Using monthly data between 1985-2005 for the United … Kingdom, Canada, Japan and the US, we show that the yield curve factors predict bilateral exchange rate movements and excess …