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Can Exchange Rates Forecast Commodity Prices?
Chen, Yu-Chin - 2010
We show that quot;commodity currencyquot; exchange rates have remarkably robust power in predicting global commodity prices, both in-sample and out-of-sample, and against a variety of alternative benchmarks. This result is of particular interest to policymakers, given the lack of deep forward...
Persistent link: https://www.econbiz.de/10012759436
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Stuck on Gold : Real Exchange Rate Volatility and the Rise and Fall of the Gold Standard
Chernyshoff, Natalia - 2010
thought not, and theory offers ambiguous messages. A hard exchange-rate regime such as the gold standard might limit monetary … absorption in a world of real shocks and nominal stickiness. A simple model shows how a lack of flexibility can be discerned in …
Persistent link: https://www.econbiz.de/10012761895
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Conditional Asset Allocation in Emerging Markets
Harvey, Campbell R. - 2010
Within the context of conditional asset allocation strategies, this paper explores the implications of the low correlations of the emerging market returns with developed market returns and the relatively high degree predictability of emerging countries' returns. It is well known that low...
Persistent link: https://www.econbiz.de/10012763465
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Sources of Risk and Expected Returns in Global Equity Markets
Ferson, Wayne E. - 2010
unconditional mean- variance efficiency of a world market portfolio, our evidence indicates that the tests are low in power, and the … world market betas do not provide a good explanation of cross-sectional differences in average returns. Multiple beta models …
Persistent link: https://www.econbiz.de/10012763466
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Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market
Elliott, Graham - 2010
This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the conventional tests of efficiency (unbiasedness) of the forward rate or of the survey forecasts do not correspond directly to the zero-profit condition. Instead, we use the survey...
Persistent link: https://www.econbiz.de/10012763699
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Real Exchange Rate Movements and the Relative Price of Non-Traded Goods
Betts, Caroline - 2009
We study the quarterly bilateral real exchange rate and the relative price of non-traded to traded goods for 1225 country pairs over 1980-2005. We show that the two variables are positively correlated, but that movements in the relative price measure are smaller than those in the real exchange...
Persistent link: https://www.econbiz.de/10012765991
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Foreign Safe Asset Demand and the Dollar Exchange Rate
Jiang, Zhengyang - 2018
We develop a theory that links the U.S. dollar's valuation in FX markets to the convenience yield that foreign … yield gap between U.S. government and currency-hedged foreign government bonds. Consistent with the theory, a widening of … support to models which impute a special role to the U.S. as the world's provider of safe assets and the dollar, the world …
Persistent link: https://www.econbiz.de/10012923715
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Monetary Policy and Exchange Rate Returns : Time-Varying Risk Regimes
Calomiris, Charles W. - 2019
We develop an empirical model of exchange rate returns, applied separately to samples of developed (DM) and developing (EM) economies' currencies against the dollar. Monetary policy stance of the global central banks, measured via a natural-language-based approach, has a large effect on exchange...
Persistent link: https://www.econbiz.de/10012889481
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Financial Integration and Liquidity Crises
Castiglionesi, Fabio - 2017
allows banks in different regions to smooth local liquidity shocks by borrowing and lending on a world interbank market. We … second-best world, financial integration can increase the welfare benefits of liquidity requirements …
Persistent link: https://www.econbiz.de/10012957374
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Corporate Debt Structure and the Financial Crisis
De Fiore, Fiorella - 2014
We present a DSGE model where firms optimally choose among alternative instruments of external finance. The model is used to explain the evolving composition of corporate debt during the financial crisis of 2008-09, namely the observed shift from bank finance to bond finance, at a time when the...
Persistent link: https://www.econbiz.de/10013040533