Intertemporal Asset Pricing and the Term Structures of Exchange Rates and Interest Rates: The Eurocurrency Market

Craig S. Hakkio and Leonardo Leiderman

No 275394, Foerder Institute for Economic Research Working Papers from Tel-Aviv University > Foerder Institute for Economic Research

Abstract: The primary purpose of this investigation is to test a model of the term structure of forward exchange rates. The approach taken in the paper consists of developing a unified framework within which this term structure is studied in conjunction with that of interest rates. Econometric analysis of data from the eurocurrency market generally indicates that the term structure implications of a lognormal version of the (consumption-based) intertemporal asset pricing model are statistically rejected at usual significance levels.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 35
Date: 1985-09
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Persistent link: https://EconPapers.repec.org/RePEc:ags:isfiwp:275394

DOI: 10.22004/ag.econ.275394

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