Australian Yield Curve Predicts Exchange Rate Movements Up to 2 Years.
The article explores how monetary policy announcements and interest rate changes affect exchange rate predictability. By analyzing Australian data, the researchers found that using advanced methods like Generalized Method of Moments (GMM) can improve exchange rate forecasts compared to traditional methods. They also discovered that the slope and curvature of the Australian yield curve relative to the US can predict movements in the USD/AUD exchange rate over various timeframes.