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Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
Andersen, Torben G. - 2000
It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH. We consider two major dollar exchange rates, and we...
Persistent link: https://www.econbiz.de/10012471288
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Answering the Critics : Yes, ARCH Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 1997
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...
Persistent link: https://www.econbiz.de/10012472795
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Covered Interest Parity Deviations : Macrofinancial Determinants
Cerutti, Eugenio M. - 2019
For several decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely--even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial...
Persistent link: https://www.econbiz.de/10012480075
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Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market
Elliott, Graham - 1995
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/10012473491
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The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors
Clarida, Richard H. - 1993
We present theory and evidence that challenges the view that forward premia contain little information regarding …
Persistent link: https://www.econbiz.de/10012474508
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Foreign Safe Asset Demand and the Dollar Exchange Rate
Jiang, Zhengyang - 2018
We develop a theory that links foreign investors' demand for the safety of U.S. Treasury bonds to the value of the … owning Treasury bonds. Under our theory, we show that the foreign convenience yield can be measured by the 'Treasury basis …. In both datasets, regression evidence strongly supports the theory. Our results help to resolve the exchange rate …
Persistent link: https://www.econbiz.de/10012453275
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Keynes and the Dollar in 1933
Edwards, Sebastian - 2017
On December 1933, John Maynard Keyes published an open letter to President Roosevelt, where he wrote: "The recent gyrations of the dollar have looked to me more like a gold standard on the booze than the ideal managed currency of my dreams." In this paper I use high frequency data to investigate...
Persistent link: https://www.econbiz.de/10012455540
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Forward and Spot Exchange Rates in a Multi-currency World
Hassan, Tarek A. - 2014
Separate literatures study violations of uncovered interest parity 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/10012458373
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Factor Model Forecasts of Exchange Rates
Engel, Charles - 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/10012460277
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Exchange Rate Models are Better than You Think, and Why They Didn't Work in the Old Days
Engel, Charles; Wu, Steve P. Y. - National Bureau of Economic Research - 2024
Exchange-rate models fit very well for the U.S. dollar in the 21st century. A "standard" model that includes real interest rates and a measure of expected inflation for the U.S. and the foreign country, the U.S. comprehensive trade balance, and measures of global risk and liquidity demand is...
Persistent link: https://www.econbiz.de/10015056131