In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

Being geopolitically exposed, the Russian financial sector is vulnerable to various uncertainties. The aim of the article is to examine the quantile movements and dynamic connectedness of uncertainty indices with the financial stress index of Russia employing the cross-quantilogram (CQ),...

Traditional exchange rate models are based on differences in macroeconomic fundamentals. However, despite being well grounded in economic theory they have a rather poor out-of sample forecasting record. This empirical failure may be a result of the overly restrictive choice of macroeconomic...

This paper evaluates the performance of carry trade strategies with implied Taylor rule interest rate differentials and compares the performance statistics of them over the naive carry trade strategy with actual interest rates. Carry trade, a currency speculation strategy, between high-interest...

This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH-in-mean model originally used in the exchange rate target zone literature, spreads are decomposed into a risk premium, an expected loss component and a liquidity premium....

This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH-in-mean model originally used in the exchange rate target zone literature, spreads are decomposed into a risk premium, an expected loss component and a liquidity premium....

This paper presents tests of uncovered interest parity in Croatia, the Czech Republic, Hungary, Poland and Romania; all countries in Central and Eastern Europe with floating exchange rates. Data are monthly and the trading horizon is three months. The estimations show that the UIP hypothesis is...

I employ a sign-identified vector autoregression (VAR) in foreign Treasury purchases and factors of the yield curve to estimate the dynamic impacts of foreign Treasury purchases on Treasury yields. Although a growing literature studies this question, it does not adequately address the...

This paper examines exchange rate exposure of country level stock returns in three emerging market economies: Korea, Taiwan and Thailand. The analysis is carried out at country level using stock indexes and trade-weighted exchange rates. Time-varying exchange rate exposure coefficients are...

External imbalance is a central variable in international economics and recent research shows it is priced in currency portfolios. But Ang et al. (2017), among others, show that with a small and time-varying cross section, tests with individual assets are preferable. We find testing with...