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Can Oil Prices Forecast Exchange Rates?
Rogoff, Kenneth S; Rossi, Barbara; Ferraro, Domenico - National Bureau of Economic Research (NBER) - 2012
This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...
Persistent link: https://www.econbiz.de/10011227945
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Taylor Rule Exchange Rate Forecasting During the Financial Crisis
Papell, David; Molodtsova, Tanya - National Bureau of Economic Research (NBER) - 2012
This paper evaluates out-of-sample exchange rate predictability of Taylor rule models, where the central bank sets the interest rate in response to inflation and either the output or the unemployment gap, for the euro/dollar exchange rate with real-time data before, during, and after the...
Persistent link: https://www.econbiz.de/10010785617
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DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
Bollerslev, Tim; Andersen, Torben G. - National Bureau of Economic Research (NBER) - 1996
This paper characterizes the volatility in the DM-dollar foreign exchange market using an annual sample of five … announcement effects, and the volatility persistence, or ARCH effects, familiar from lower frequency returns. The different … modeled, constitute an extremely valuable and vastly underutilized resource for better understanding the volatility dynamics …
Persistent link: https://www.econbiz.de/10005575365
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Does "Aggregation Bias" Explain the PPP Puzzle?
Chen, Shiu-Sheng; Engel, Charles - National Bureau of Economic Research (NBER) - 2004
Recently, Imbs et. al. (2002) have claimed that much of the purchasing power parity puzzle can be explained by aggregation bias'. This paper re-examines aggregation bias. First, it clarifies the meaning of aggregation bias and its applicability to the PPP puzzle. Second, the size of the bias' is...
Persistent link: https://www.econbiz.de/10005580738
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Patterns of Convergence and Divergence in the Euro Area
Gali, Jordi; Lopez-Salido, J. David; Estrada, Ángel - National Bureau of Economic Research (NBER) - 2013
We study the extent of macroeconomic convergence/divergence among euro area countries. Our analysis focuses on four variables (unemployment, inflation, relative prices and the current account), and seeks to uncover the role played by monetary union as a convergence factor by using non-euro...
Persistent link: https://www.econbiz.de/10010969299
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Conditional Risk Premia in Currency Markets and Other Asset Classes
Lettau, Martin; Maggiori, Matteo; Weber, Michael - National Bureau of Economic Research (NBER) - 2013
The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns....
Persistent link: https://www.econbiz.de/10010969442
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China's Growth, Stability, and Use of International Reserves
Aizenman, Joshua; Marion, Nancy P.; Jinjarak, Yothin - National Bureau of Economic Research (NBER) - 2013
Since the onset of the global financial crisis, China and the U.S. have reduced their current-account imbalances as a share of GDP to less than half their pre-crisis levels. For China, the reduction in its current-account surplus post-crisis suggests a structural change. Panel regressions for a...
Persistent link: https://www.econbiz.de/10010969460
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On the Asset Market View of Exchange Rates
Burnside, A. Craig; Graveline, Jeremy J. - National Bureau of Economic Research (NBER) - 2012
We offer a critique of the popular notion that the log-change of the real exchange rate equals the log-difference between the IMRSs of economically distinct agents in two economies. Contrary to existing claims, we show that this interpretation does not hold true in reduced-form SDF models that...
Persistent link: https://www.econbiz.de/10010890096
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The Carry Trade: Risks and Drawdowns
Hodrick, Robert James; Daniel, Kent; Lu, Zhongjin - National Bureau of Economic Research (NBER) - 2014
. Dynamically spread-weighting and risk-rebalancing positions improves performance. Equity, bond, FX, volatility, and downside …
Persistent link: https://www.econbiz.de/10010950638
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Volatility and Pass-through
Berger, David; Vavra, Joseph S. - National Bureau of Economic Research (NBER) - 2013
What drives countercyclical volatility? A large literature has documented that many economic variables are more … volatility or responsiveness is getting bigger, and these two explanations have very different policy implications. However, we … volatility shocks cannot. …
Persistent link: https://www.econbiz.de/10010950688