English, Article, Journal or magazine article edition: APPLICATION OF FUNDAMENTAL MODELS TO MONEY AND EXCHANGE RATE MARKETS Andres Vesilind

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Bookmark: http://trove.nla.gov.au/version/162232
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • APPLICATION OF FUNDAMENTAL MODELS TO MONEY AND EXCHANGE RATE MARKETS
Author
  • Andres Vesilind
Physical Description
  • preprint
Notes
  • The present paper addresses the issue of fundamental determinants of US and Euro area government bonds interest rate levels, yield curve spreads and G3 foreign exchange rates. The author aims to find whether there exist any fundamental indicators that would allow one to register some “equilibrium level” on the markets. As a baseline for modelling interest rate and yield curve spreads, the conventional IS-LM framework, and for modelling exchange rates, the standard monetary model of exchange rates were chosen. The estimated models cover 10-year government bonds interest rate levels and 2-year-10-year yield curve spreads in the US and Germany, and the USD/​EUR and USD/​JPY exchange rates. The results indicate that the fundamental indicators can give relatively accurate estimates of the equilibrium value ex post, but ex ante model estimates may lag behind the actual market cycle turning points.
  • RePEc:mtk:febawb:22
Language
  • English
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