This paper examines the role of the exchange rate in the determination of the slope of the nominal Treasury yield curve in the context of the U.S.A. Monthly data from June 1976 through June 2005 are utilized. This paper concludes that changes in the U.S. dollar value index significantly influence the changes in the slope of the U.S. nominal Treasury yield curve. As a result, the exchange rate should be included as one of the explanatory variables in the yield curve empirics.
Matiur Rahman and Muhammad Mustafa. "The Slope of the U.S. Nominal Treasury Yield Curve and the Exchange Rate." New York Economic Review. vol. 40, Fall 2009, p. 3-12
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