Risk Premium Factor and Exchange Rate Forecasting

I estimate a dynamic factor from the risk premium of carry trading of bilateral US Dollar against 15 OECD countries and use that factor to augment the macro fundamentals suggested by the Taylor rule, monetary and purchasing power parity models. Meese and Rogoff (1983) show economic models of exchange rates do not outperform the random walk forecast. I find evidence of short term predictability of bilateral exchange rates between 1991 and 2012 with factor augmented macro fundamentals

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Year of publication:	2020
Authors:	Ogruk-Maz, Gokcen
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Risikoprämie \| Risk premium \| Wechselkurs \| Exchange rate \| Prognoseverfahren \| Forecasting model \| Prognose \| Forecast
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Ogruk, G. (2013). Risk Premium and Exchange Rate Forecasting. Economics and Finance Review, 3(5), 42-52 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2013 erstellt Volltext nicht verfügbar
Classification:	C22 - Time-Series Models ; E32 - Business Fluctuations; Cycles ; E37 - Forecasting and Simulation ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; F31 - Foreign Exchange ; F37 - International Finance Forecasting and Simulation
Source:	ECONIS - Online Catalogue of the ZBW

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