The main goal of this article is to provide an answer to the question: does anything forecast
exchange rates, and if so, which variables? It is well known that exchange rate fluctuations …

This chapter surveys recent theoretical and empirical contributions on foreign exchange rate
determination. The chapter first examines monetary models under uncovered interest parity …

We examine the predictive power of the dividend yields for forecasting excess returns, cash
flows, and interest rates. Dividend yields predict excess returns only at short horizons …

We describe the joint dynamics of bond yields and macroeconomic variables in a Vector
Autoregression, where identifying restrictions are based on the absence of arbitrage. Using …

Generalized method of moments (GMM) was first introduced into the econometrics literature
by Lars Hansen in 1982. Since then, GMM has had considerable impact on the theory and …

A lot, including a few things you may not expect. Previous studies find that the term spread
forecasts GDP but these regressions are unconstrained and do not model regressor …

We examine empirically how the supply and maturity structure of government debt affect
bond yields and expected returns. We organize our investigation around a term-structure …

Conditional heteroskedasticity is an important feature of many macroeconomic and financial
time series. Standard residual-based bootstrap procedures for dynamic regression models …

Quantitative Financial Economics Quantitative Financial Economics provides a
comprehensive introduction to models of economic behaviour in financial markets, focusing …

This paper proposes a consumption-based model that accounts for many features of the
nominal term structure of interest rates. The driving force behind the model is a time-varying …