search query: @author Cavaglia, S. / total: 4
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| Author: | Cavaglia, S. |
| Title: | Interest expectations and exchange rates news |
| Journal: | Empirical Economics
1998 : VOL. 23:4, p. 525-534 |
| Index terms: | EMPIRICAL RESEARCH INTEREST RATES EXCHANGE RATES |
| Language: | eng |
| Abstract: | Using a survey data set of matched exchange rate and interest rate expectations for eight currencies relative to the German mark, the authors examine empirically the relationship between exchange rate returns, "news" and risk premia. "News" on interest differentials enters significantly in equations for the difference between the spot rate and the lagged forward rate for the British pound, Japanese yen, Spanish peseta and the US dollar. An unexpected rise in the interest rate differential tends to strengthen the domestic exchange rate. |
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