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| Tekijä: | Leippold, M. Wu, L. |
| Otsikko: | Design and estimation of multi-currency quadratic models |
| Lehti: | Review of finance
2007 : JUN, VOL. 11:2, p. 167-207 |
| Asiasana: | finance interest rates foreign exchange pricing models |
| Kieli: | eng |
| Tiivistelmä: | This study proposes a class of multi-currency quadratic models (MCQM) with an (m + n) factor structure in the pricing kernel of each economy. In the model, the 'm' factors model the term structure of interest rates and the 'n' factors capture the portion of the exchange rate movement. A series of MCQM are estimated using U.S. and Japanese LIBOR and swap rates and the exchange rate btw. the two economies. It is shown that independent currency factors are essential in releasing the tension btw. the factors of 'n' and the 'm'. |
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