This paper provides an empirical investigation of the time-series predictive ability of foreign exchange risk measures …

country pairs, we assess the ability of this model to forecast out-of-sample four major US dollar exchange rates using various … economic criteria of model evaluation. The analysis shows that the model provides economic value to a risk-averse investor …

country pairs, we assess the ability of this model to forecast out-of-sample four major US dollar exchange rates using various … economic criteria of model evaluation. The analysis shows that the model provides economic value to a risk-averse investor …

We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the … tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the …-currency) term structure models reveals a noticeable tradeoff between matching depreciation rates and accuracy in pricing bonds. Risk …

This paper studies whether the evident statistical predictability of bond risk premia translates into economic gains … excess returns with high regressions R^2s and high forecast accuracy but cannot outperform the expectations hypothesis out …-of-sample in terms of economic value, showing a general contrast between statistical and economic metrics of forecast evaluation …