maturities. Standard models impose precise internal consistency conditions on the joint behavior of long and short maturity … claims and these are strongly rejected in the data. In particular, long maturity prices are significantly more variable than …

. Standard models impose precise internal consistency conditions on the joint behavior of long and short maturity claims and … these are strongly rejected in the data. In particular, long maturity prices are significantly more variable than justified …

between the fundamental equilibrium exchange rate and the actual exchange rate with the long-maturity forward exchange rate … panel estimation, recursive and rolling estimation, and alternate data construction methods. The model performs better when … the long-maturity forward exchange rate is assumed to be stationary, as opposed to assuming non-stationarity. The …