| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3061 |
| DP3061 Strategic Advantage and the Optimal Exercise of Entry Options | |
| Enrico Perotti; Silvia Rossetto | |
| 发表日期 | 2001-11-11 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | This Paper examines characterizations of the dynamics for first and second moments of the one-month interest rate, the 12-month excess bond return and exchange rates. The countries considered are the US, Germany, Japan and the UK. Our tests are based on the implications of multi-country versions of the Cox, Ingersoll and Ross (1985) class of term structure models. Multi-country models are in several cases better able to explain the dynamics of one-month interest rates and the 12-month excess bond returns than one-country models. Furthermore, in some cases, they can also explain the dynamics of the exchange rates better than two-country models. Multi-country models are particularly useful for explaining the second moment of the one-month US interest rate, the second moments of the 12-month excess bond returns in US, Germany and Japan, as well as the first moment of the rate of appreciation of the Deutsche mark relative to the US dollar. In addition to results based on asymptotic distributions, we also provide inference using the small-sample distributions of test statistics. |
| 主题 | Financial Economics |
| 关键词 | Exchange rates Interest rates Bond returns Multi-country models |
| URL | https://cepr.org/publications/dp3061 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532093 |
| 推荐引用方式 GB/T 7714 | Enrico Perotti,Silvia Rossetto. DP3061 Strategic Advantage and the Optimal Exercise of Entry Options. 2001. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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