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D'Agostino, Antonello; Surico, Paolo - C.E.P.R. Discussion Papers - 2011

We investigate inflation predictability in the United States across the monetary regimes of the XXth century. The …

Persistent link: https://www.econbiz.de/10008873332

Properties of Foreign Exchange Risk Premiums

Sarno, Lucio; Schneider, Paul; Wagner, Christian - C.E.P.R. Discussion Papers - 2011

We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure of...

Persistent link: https://www.econbiz.de/10009209825

The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?

Della Corte, Pasquale; Sarno, Lucio; Sestieri, Giulia - C.E.P.R. Discussion Papers - 2010

This paper examines the exchange rate predictability stemming from the equilibrium model of international financial …

Persistent link: https://www.econbiz.de/10008684687

Volatility Risk Premia and Exchange Rate Predictability

Della Corte, Pasquale; Ramadorai, Tarun; Sarno, Lucio - C.E.P.R. Discussion Papers - 2013

predictability of spot exchange rates rather than interest rate differentials, and these predictable spot returns are far stronger …

Persistent link: https://www.econbiz.de/10011084715

Forecasting the Price of Oil

Alquist, Ron; Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2011

specifications? Are real or nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into …

Persistent link: https://www.econbiz.de/10009643504

Dynamic Trading with Predictable Returns and Transaction Costs

Garleanu, Nicolae Bogdan; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2009

This paper derives in closed form the optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal updated portfolio is a linear combination of the existing portfolio, the optimal portfolio absent...

Persistent link: https://www.econbiz.de/10004964419

Random Walk Expectations and the Forward Discount Puzzle

Bacchetta, Philippe; van Wincoop, Eric - C.E.P.R. Discussion Papers - 2007

whether these two features of the data may in fact be related. In particular, we ask whether the predictability of exchange …

Persistent link: https://www.econbiz.de/10005789185

Asset Pricing with Adaptive Learning

Carceles-Poveda, Eva; Giannitsarou, Chryssi - C.E.P.R. Discussion Papers - 2007

gain learning may contribute towards explaining the stock price and return volatility as well as the predictability of …

Persistent link: https://www.econbiz.de/10005789201

Predictability in Financial Markets: What Do Survey Expectations Tell Us?

Bacchetta, Philippe; Mertens, Elmar; van Wincoop, Eric - C.E.P.R. Discussion Papers - 2006

There is widespread evidence of excess return predictability in financial markets. In this paper we examine whether … this predictability is related to expectational errors. To consider this issue, we use data on survey expectations of … find that the predictability of expectational errors coincides with the predictability of excess returns: when a variable …

Persistent link: https://www.econbiz.de/10005791440

The Predictive Power of the Yield Spread: Further Evidence and A Structural Interpretation

Favero, Carlo A.; Kaminska, Iryna; Söderström, Ulf - C.E.P.R. Discussion Papers - 2005

This paper brings together two strands of the empirical macro literature: the reduced-form evidence that the yield spread helps in forecasting output and the structural evidence on the difficulties of estimating the effect of monetary policy on output in an intertemporal Euler equation. We show...

Persistent link: https://www.econbiz.de/10005791499