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9,364
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1
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
Saved in:
2
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors : A Step Beyond
Clarida, Richard
-
2001
A large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate. However, there is evidence that the term structure of forward premia contains valuable information for forecasting...
Persistent link: https://www.econbiz.de/10012470115
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3
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
Saved in:
4
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
Saved in:
5
Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads
Wei, Shang-Jin
-
1994
The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads. The direction of the effect is consistent with an...
Persistent link: https://www.econbiz.de/10012474188
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6
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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7
The Forward Premium Puzzle in a Two-Country
World
Martin, Ian
-
2011
I explore the behavior of asset prices and the exchange rate in a two-country
world
. When the large country has bad …
Persistent link: https://www.econbiz.de/10012461094
Saved in:
8
The Global Dollar Cycle
Obstfeld, Maurice
;
Zhou, Haonan
-
National Bureau of Economic Research
-
2023
cyclical pattern. Over that cycle,
world
asset prices, leverage, and capital flows move in concert with global growth …
Persistent link: https://www.econbiz.de/10014247924
Saved in:
9
Inflation Surge and Sovereign Borrowing : The Role of Policy Practices in Strengthening Sovereign Resilience
Aizenman, Joshua
;
Zheng, Huanhuan
-
National Bureau of Economic Research
-
2023
Sovereign borrowing during inflation surges is a litmus test of a government's ability to withstand and navigate macroeconomic shocks. Based on transaction-level bond issuance data, we explore how sovereign financing strategies respond to inflation surges and how policy practices affect their...
Persistent link: https://www.econbiz.de/10014250190
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10
Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations
Froot, Kenneth A.
-
1986
Survey data on exchange rate expectations are used to divide the forward discount into expected depreciation and a risk premium. Our starting point is the common test oh whether the forward discount is an unbiased predictor of future changes in the spot rate. We use the surveys to decompose the...
Persistent link: https://www.econbiz.de/10012477109
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