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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

Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts

Andersen, Torben G. - 2008

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

Persistent link: https://www.econbiz.de/10012774886

Oil and the Dollar

Krugman, Paul R. - 2021

whether the U.S. share of world oil imports is more or less than its share of OPEC asset holdings; in the long run, whether …

Persistent link: https://www.econbiz.de/10013220415

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

Taylor Rule Exchange Rate Forecasting During the Financial Crisis

Molodtsova, Tanya - 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/10013101336

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 U.S. Current Account and the Dollar

Blanchard, Olivier J.; Giavazzi, Francesco; Sá, Filipa - 2021

There are two main forces behind the large U.S. current account deficits. First, an increase in the U.S. demand for foreign goods. Second, an increase in the foreign demand for U.S. assets. Both forces have contributed to steadily increasing current account deficits since the mid--1990s. This...

Persistent link: https://www.econbiz.de/10013224715

Risk Premia in Crude Oil Futures Prices

Hamilton, James D. - 2013

structure to commodity futures prices, and develop new algorithms for estimation of such models using unbalanced data sets in …

Persistent link: https://www.econbiz.de/10013081835

One Money, One Market : Estimating the Effect of Common Currencies on Trade

Rose, Andrew Kenan - 2021

A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … exchange rate volatility, even after controlling for a host of features, including the endogenous nature of the exchange rate …

Persistent link: https://www.econbiz.de/10013231861

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