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The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors

Clarida, Richard - 2010

We present theory and evidence that challenges the view that forward premia contain little information regarding …

Persistent link: https://www.econbiz.de/10012763403

Evans, Martin D.D; Lyons, Richard K. - 2021

Macroeconomic models of nominal exchange rates perform poorly. In sample, R2 statistics as high as 10 percent are rare. Out of sample, these models are typically out-forecast by a na‹ve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic...

Persistent link: https://www.econbiz.de/10013221288

Microstructure of the Yen/Dollar Foreign Exchange Market : Patterns of Intra-Day Activity Revealed in the Electronic Broking System

Ito, Takatoshi - 2010

This paper establishes several intra-day patterns of the high-frequency exchange rate behavior, using the firm bid-ask quote, transaction of the EBS data set. First, the activity of quote and transactions is high in the beginning hours of the three major currency markets -- Tokyo, London, and...

Persistent link: https://www.econbiz.de/10012762564

Asset Markets, Exchange Rates and the Balance of Payments

Frenkel, Jacob A.; Mussa, Michael L. - 2022

This paper, written as a chapter for a Handbook of International Economics, reviews developments in the theory of … of exchange rate theory, starting with the monetary approach to exchange rate determination. Issues discussed in this … framework that views the question of exchange rate determination as part of the general theory of the determination of asset …

Persistent link: https://www.econbiz.de/10013309363

Factor Model Forecasts of Exchange Rates

Engel, Charles M. - 2012

We construct factors from a cross section of exchange rates and use the idiosyncratic deviations from the factors to forecast. In a stylized data generating process, we show that such forecasts can be effective even if there is essentially no serial correlation in the univariate exchange rate...

Persistent link: https://www.econbiz.de/10013100676

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

Forward and Spot Exchange Rates in a Multi-Currency World

Hassan, Tarek A. - 2014

Separate literatures study violations of uncovered interest parity (UIP) using regression-based and portfolio-based methods. We propose a decomposition of these violations into a cross-currency, a between-time-and-currency, and a cross-time component that allows us to analytically relate...

Persistent link: https://www.econbiz.de/10013050308

The Predictive Ability of Several Models of Exchange Rate Volatility

West, Kenneth D.; Cho, Dongchul - 2021

We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more...

Persistent link: https://www.econbiz.de/10013225431

Real-Time Multivariate Density Forecast Evaluation and Calibration : Monitoring the Risk of High-Frequency Returns on Foreign Exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 2021

We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions...

Persistent link: https://www.econbiz.de/10013239958

Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

Froot, Kenneth - 2004

Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...

Persistent link: https://www.econbiz.de/10012786275

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