Showing 1 - 10 of 37
"Currency excess returns are highly predictable, more than stock returns, and about as much as bond returns. In addition, these predicted excess returns are strongly counter-cyclical. The average excess returns on low interest rate currencies are 4.8 percent per annum smaller than those on high...
Persistent link: https://www.econbiz.de/10003739117
Persistent link: https://www.econbiz.de/10003851615
Persistent link: https://www.econbiz.de/10003887078
"The average forward discount of the dollar against developed market currencies is the best predictor of average foreign currency excess returns earned by U.S. investors on a long position in a large basket of foreign currencies and a short position in the dollar. The predicted excess returns...
Persistent link: https://www.econbiz.de/10008695784
Persistent link: https://www.econbiz.de/10003857018
Persistent link: https://www.econbiz.de/10009381413
Persistent link: https://www.econbiz.de/10010375937
Fixing the investment horizon, the returns to currency carry trades decrease as the maturity of the foreign bonds increases. The local currency term premia, which increase with the maturity, offset the currency risk premia. The time-series predictability of foreign bond returns in dollars...
Persistent link: https://www.econbiz.de/10013073193
Since the fall of 2008, option smiles have been clearly asymmetric: out-of-the-money currency options point to large expected exchange rate depreciations (appreciations) for high (low) interest rate currencies, suggesting that disaster risk is priced in currency markets. To study the price of...
Persistent link: https://www.econbiz.de/10013152552
Fixing the investment horizon, the returns to currency carry trades decrease as the maturity of the foreign bonds increases, because the local currency term premia offset the currency risk premia. The time series predictability of foreign bond returns in dollars similarly declines with the...
Persistent link: https://www.econbiz.de/10012938280