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.
| Original language | English |
|---|---|
| Pages (from-to) | 325-344 |
| Number of pages | 20 |
| Journal | European Economic Review |
| Volume | 30 |
| Issue number | 2 |
| DOIs | |
| State | Published - Apr 1986 |