Bond Convenience Yields and Exchange Rate Dynamics
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DOI: 10.1257/mac.20170391
Abstract: This paper proposes a new explanation for the failure of Uncovered Interest Parity (UIP) that rationalize both the classic UIP puzzle and the evidence that the puzzle reverses direction at longer horizons. In the model,… read more here.
Keywords: convenience; rate dynamics; bond convenience; exchange rate ... See more keywords