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Mair, Florian - 2021

forecast dispersion is positively associated with future currency returns. Portfolios built from analyst forecasts tend to …

Persistent link: https://www.econbiz.de/10013245904

Zur Qualität professioneller Wechselkursprognosen : sind professionelle Wechselkursprognosen eine sinnvolle Entscheidungshilfe für Unternehmen und Investoren?/ Robert Schmidt

Schmidt, Robert - 2003

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

Application of Fundamental Models to Money and Exchange Rate Markets

Vesilind, Andres - 2004

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

Fundamentals and Technical Trading : Behaviour of Exchange Rates in the CEECs

Bask, Mikael; Fidrmuc, Jarko - 2007

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

International Trade and Exchange Rate

Kang, Jong - 2016

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

Perspectives on Uncovered Interest Rate Parity and the Carry Trade : Some Recent Evidence for G10 and Emerging Markets

Villanueva, Miguel - 2012

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

Exchange rate forecasters' performance : evidence of skill?

McDonald, Ronald H.; Menkhoff, Lukas; Rebitzky, Rafael R. - 2009

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

Foreign exchange predictability during the financial crisis : implications for carry trade profitability

Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015

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

Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

Ledenyov, Dimitri - 2015

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

Understanding the Interplay between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades

Ames, Matthew - 2015

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