I am very grateful to Ken West (the editor) and two anonymous referees for valuable, extensive comments that greatly improve the article. I also thank Nour Meddahi and Enrique Sentana for their useful comments and suggestions during the early stages of this project. This project started while I was a postdoctoral fellow at CIREQ and CIRANO; and their hospitality is greatly appreciated. Finally, I want to thank Greg Bauer, David Bolder, Qiang Dai, René Garcia, Alfonso Novales, Adrien Verdelhan, Jun Yang, and seminar participants at the European Central Bank, the CIRANO-CIREQ Conference on Financial Econometrics (Montréal, 2005), Finance Forum (Madrid, 2005), Bank of Canada Conference on Fixed Income Markets (Ottawa, 2006), International Symposium on Forecasting (New York, 2007), Northern Finance Association Meetings (Toronto, 2007), and Financial Management Association Meetings (Orlando, 2007) for their comments. However, I remain solely responsible for any remaining errors. The views expressed in this paper are those of the author and do not necessarily reflect those of the Bank of Canada.
Can Affine Term Structure Models Help Us Predict Exchange Rates?
Version of Record online: 13 MAY 2009
© 2009 The Ohio State University
Journal of Money, Credit and Banking
Volume 41, Issue 4, pages 755–766, June 2009
How to Cite
DE LOS RIOS, A. D. (2009), Can Affine Term Structure Models Help Us Predict Exchange Rates?. Journal of Money, Credit and Banking, 41: 755–766. doi: 10.1111/j.1538-4616.2009.00230.x
- Issue online: 13 MAY 2009
- Version of Record online: 13 MAY 2009
- Received October 22, 2006; and accepted in revised form July 22, 2008.
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