Alvarez Garrido, Fernando (contributor); … - 2003 - [Elektronische Ressource]
Time-varying risk is the primary force driving nominal interest rate differentials on currency-
denominated bonds. This …
+ E
t
loge
t+1
−loge
t
−i
t
,
where i
∗
t
and i
t
are the logarithms of euro and dollar gross interest rate, and e
t
is … equilibrium models of interest rates and exchange rates, since risk premia
are constant, interest rate differentials move one …