Interest rate arbitrage in currency baskets : forecasting weights and measuring risk /

Interest rate arbitrage in currency baskets : forecasting weights and measuring risk /

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Bibliographic Details
Author / Creator:	Christoffersen, Peter F.
Imprint:	[Washington, D.C.] : International Monetary Fund, Asia and Pacific Dept., ©1999.
Description:	1 online resource (30 pages) : illustrations
Language:	English
Series:	IMF working paper, 2227-8885 ; WP/99/16 IMF working paper ; WP/99/16.
Subject:	Interest rates -- Forecasting -- Econometric models. Interest rate risk -- Econometric models. Foreign exchange rates -- Econometric models. Currency convertibility -- Econometric models. Cointegration -- Econometric models. Currency convertibility -- Econometric models. Econometric models. Foreign exchange rates -- Econometric models. Interest rate risk -- Econometric models. Interest rates -- Forecasting -- Econometric models. Cointegration -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12496071

Hidden Bibliographic Details
Other authors / contributors:	Giorgianni, Lorenzo. International Monetary Fund. Asia and Pacific Department.
ISBN:	1451891318 9781451891317 9781451843385 1451843380 1462316794 9781462316793 1452751315 9781452751313 1281604356 9781281604354 9786613785046 6613785040
Notes:	Includes bibliographical references (pages 29-30). Restrictions unspecified Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010. Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 English. digitized 2010 HathiTrust Digital Library committed to preserve Print version record.
Summary:	Annotation When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is riskin terms of the conditional variance of expected profits from the interest rate arbitrage portfolioappropriately measured when the basket weights are time-varying? Answers to these questions are provided within a time-varying parameter modeling framework estimated through the Kalman filter. An empirical application is devoted to the experience of the Thai baht currency basket (January 1992February 1997).
Other form:	Print version: Christoffersen, Peter F. Interest rate arbitrage in currency baskets. [Washington, D.C.] : International Monetary Fund, Asia and Pacific Dept., ©1999
Standard no.:	10.5089/9781451891317.001