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forecast dispersion is positively associated with future currency returns. Portfolios built from analyst forecasts tend to …
Persistent link: https://www.econbiz.de/10013245904
Die Berücksichtigung der zukünftigen Entwicklung des Wechselkurses ist sowohl für internationale Unternehmen als auch für international tätige Investoren unabdingbar. Allerdings ist die Erstellung von Wechsel- kursprognosen schwierig, da bis zum heutigen Zeitpunkt kein allgemein anerkanntes...
Persistent link: https://www.econbiz.de/10010498979
The present paper addresses the issue of fundamental determinants of US and Euro area government bonds interest rate levels, yield curve spreads and G3 foreign exchange rates. The author aims to find whether there exist any fundamental indicators that would allow one to register some...
Persistent link: https://www.econbiz.de/10014074191
We present a model of exchange rates, which incorporates the monetary approach and technical trading, and we present the reduced form based on the minimal state variable solution, where both fundamentals and backward-looking term determine the spot exchange rates. Finally, we estimate the impact...
Persistent link: https://www.econbiz.de/10014223795
Tepid trade growth since the 2008/2009 global financial crisis (GFC) has been partly attributed to sluggish demand from developed countries. However, data reveals that developing countries play a bigger role in holding back trade growth, while developed countries show quite robust import growth....
Persistent link: https://www.econbiz.de/10012980850
Uncovered interest rate parity (UIRP) indicates that international yield differentials reflect expected depreciation of the high-yield currency. However high-yield currencies tend to appreciate, at least in the short run, which implies predictable currency excess returns and trading...
Persistent link: https://www.econbiz.de/10013097842
This paper sheds new light on a long-standing puzzle in the international finance literature, namely, that exchange rate expectations appear inaccurate and even irrational. We find for a comprehensive dataset that individual forecasters' performance is skill-based. 'Superior' forecasters show...
Persistent link: https://www.econbiz.de/10003832110
returns. Our results suggest that the decomposition model produces higher forecast and directional accuracy than any of the …
Persistent link: https://www.econbiz.de/10011313235
The accurate forecast of the foreign currencies exchange rates at the ultra high frequency electronic trading in the … markets in Asia, Europe and North America; 2) the research review on the classic forecast techniques of the foreign currencies … quantum forecast techniques of the foreign currencies exchange rates dynamics in the foreign currencies exchange markets with …
Persistent link: https://www.econbiz.de/10013013057
With the exception of naive methods for portfolio selection, such as the equal weighted approaches, all other methods of portfolio allocation are more or less sensitive to the quality of the inputs considered in constructing the models and risk measures utilised in the allocation framework. The...
Persistent link: https://www.econbiz.de/10013010841