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Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market
Frankel, Jeffrey A. - 2010
The paper presents new empirical results that elucidate the dynamics of the foreign exchange market. The first half of the paper is an updated study of the exchange rate expectations held by market participants, as reflected in responses to surveys, and contains the following conclusions. First,...
Persistent link: https://www.econbiz.de/10012763525
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Rational Expectations and the Foreign Exchange Market
Hartley, Peter R. - 2021
Many models of exchange rate determination imply that movements in money supplies and demands should result in movements in exchange rates. Hence, if rational agents are attempting to forecast exchange rate movements, they should in the first instance forecast movements in the supplies of and...
Persistent link: https://www.econbiz.de/10013228639
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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
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Rational Speculative Bubbles in an Exchange Rate Target Zone
Buiter, Willem H.; Pesenti, Paolo A. - 2021
The recent theory of exchange rate dynamics within a target zone holds that exchange rates under a currency bard are … rational bubbles does not occur in the foreign exchange market. In this paper we consider instead a setup in which the … the presence of bubbles is viable if the Central Bank accommodates speculative attacks when the latter are consistent with …
Persistent link: https://www.econbiz.de/10013222244
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Expectations Hypotheses Tests
Bekaert, Geert; Hodrick, Robert J. - 2021
We investigate the Expectations Hypotheses of the term structure of interest rates and of the foreign exchange market using vector autoregressive methods for the U.S. dollar, Deutsche mark, and British pound interest rates and exchange rates. In addition to standard Wald tests, we formulate...
Persistent link: https://www.econbiz.de/10013232893
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Rational Finite Bubbles
Allen, Franklin - 2010
There has been a long-running debate about whether stock market prices are determined by fundamentals. To date no consensus has been reached. An important issue in this debate concerns the circumstances in which deviations from fundamentals are consistent with rational behavior. A...
Persistent link: https://www.econbiz.de/10012763474
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Indeterminacy, Bubbles, and the Fiscal Theory of Price Level Determination
McCallum, Bennett T. - 2021
The recently-developed fiscal theory of price level determination contends that there is an important class of policy …
Persistent link: https://www.econbiz.de/10013215355
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Rational Asset Price Bubbles
Diba, Behzad; Grossman, Herschel I. - 2021
deterministic bubbles and stochastic bubbles, for a model of inflation and for a model of the evolution of price and quantity in the … market fora storable commodity, such as gold. The analysis focuses on stochastic bubbles as a possibility peculiarly … points to no compelling reason to rule out rational stochastic bubbles apriori, conventional behavioral assumptions imply …
Persistent link: https://www.econbiz.de/10013226584
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Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
Bekaert, Geert - 2009
The paper characterizes predictable components in excess rates of returns on major equity and foreign exchange markets using lagged excess returns, dividend yields, and forward premiums as instruments. Vector autoregressive techniques demonstrate one-step-ahead predictability and provide implied...
Persistent link: https://www.econbiz.de/10012767709
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The Carry Trade and Fundamentals : Nothing to Fear But Feer Itself
Jorda, Oscar - 2009
The carry trade is the investment strategy of going long in high-yield target currencies and short in low-yield funding currencies. Recently, this naive trade has seen very high returns for long periods, followed by large crash losses after large depreciations of the target currencies. Based on...
Persistent link: https://www.econbiz.de/10013154539