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 …

This chapter conducts an event study of 30 quantitative easing (QE) announcements made
by 21 central banks on daily government bond yields and bilateral US dollar exchange rates …

The uncovered interest parity puzzle concerns the empirical regularity that high interest rate
countries tend to have high expected returns on short term deposits. A separate puzzle is …

We re-assess exchange rate prediction using a wider set of models that have been
proposed in the last decade: interest rate parity, productivity based models, and a composite …

First published in 2007. Exchange Rate Economics: Theories and Evidence is the second
edition of Floating Exchange Rates: Theories and Evidence, and builds on the successful …

We show that bond risk premia rise with uncertainty about expected inflation and fall with
uncertainty about expected growth; the magnitude of return predictability using these …

We develop a model in which specialized bond investors must absorb shocks to the supply
and demand for long-term bonds in two currencies. Since long-term bonds and foreign …

This paper evaluates the effect of the Federal Reserve's large scale asset purchases (LSAP)
on international long bond yields and exchange rates, then considers whether the observed …

We develop a two-country model in which currency and bond markets are populated by
different investor clienteles, and segmentation is partly overcome by global arbitrageurs with …