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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Multi-currency quadratic model: theory and evidence |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Review of Finance |
| Publisher | Oxford University Press |
| Geographical Reach | international |
| ISSN | 1572-3097 |
| Volume | 9 |
| Page Range | 1 - 38 |
| Date | 2007 |
| Abstract Text | To simultaneously account for the properties of interest-rate term structure and foreign exchange rates within an arbitrage-free framework, we propose a multi-currency quadratic model with an (m+n) factor structure. The m factors model the term structure of interest rates in both countries. The n factors capture the portion of the exchange rate movement that is independent of the term structure of either country. We estimate a series of multi-currency quadratic models using U.S. and Japanese LIBOR and swap rates and the exchange rate between the two countries. |
| Official URL | http://rof.oxfordjournals.org/content/11/2/167.abstract |
| Digital Object Identifier | 10.1093/rof/rfl002 |
| Other Identification Number | merlin-id:4486 |
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