Narrow search
Showing 1 - 10 of 59,203
Cover Image
Global financial crisis and the puzzling exchange rate path in CEE countries
Crespo Cuaresma, Jesús; Geršl, Adam; Slačík, Tomáš - 2010
financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate …-of-sample predictive power of indicators. The forecasting results suggest that models based on FX options are inferior to the random walk … change of the exchange rate. -- Options ; implied volatility ; risk-neutral density ; exchange rate forecasting ; Bayesian …
Persistent link: https://www.econbiz.de/10008689001
Cover Image
Foreign exchange predictability during the financial crisis : implications for carry trade profitability
Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015
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...
Persistent link: https://www.econbiz.de/10011313235
Cover Image
Cross-Border Claims and Banking Crises : An Early Warning System for Small Open Economies
Dieckelmann, Daniel - 2020
This paper presents an early warning system for predicting banking crises specifically tailored to developed small open economies. The model considers two sources of financial instability: Domestic macro-financial imbalances and exposure to foreign banking systems with high crisis risk. Exposure...
Persistent link: https://www.econbiz.de/10012849512
Cover Image
Foreign Exchange Predictability During the Financial Crisis : Implications for Carry Trade Profitability
Anatolyev, Stanislav - 2017
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...
Persistent link: https://www.econbiz.de/10012948703
Cover Image
Forecasting the Global Financial Crisis in the Years 2009-2010 : Ex-Post Analysis
Fantazzini, Dean - 2011
The ex-ante forecast of the SP500 index discussed in Fantazzini (2010a), covering the time sample 14/04/2009-09/10/2010, and originally submitted to the Economics Bulletin on the 15/05/2009 is analyzed. It is found that the realized values of the SP500 index trailed the forecasted values quite...
Persistent link: https://www.econbiz.de/10013117963
Cover Image
Momentum Without Crashes
Chitsiripanich, Soros; Paolella, Marc S.; Polak, Pawel; … - 2022
We construct a momentum factor that identifies cross-sectional winners and losers based on a weighting scheme that incorporates all the price data, over the entire lookback period, as opposed to only the first and last price points of the window. The weighting scheme is derived from the...
Persistent link: https://www.econbiz.de/10014236192
Cover Image
Modelling and Forecasting the Global Financial Crisis : Initial Findings Using Heterosckedastic Log-Periodic Models
Fantazzini, Dean - 2011
The financial crisis of 2007-2009 has begun in July 2007 when a loss of confidence by investors in the value of securitized mortgages in the United States resulted in a liquidity crisis. World stock markets peaked in October 2007 and then entered a period of high volatility which culminated with...
Persistent link: https://www.econbiz.de/10013131972
Cover Image
Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises
Caporin, Massimiliano - 2013
This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...
Persistent link: https://www.econbiz.de/10013074792
Cover Image
Would DSGE models have predicted the Great Recession in Austria?
Breuss, Fritz - 2016
DSGE (Dynamic stochastic general equilibrium) models are the common workhorse of modern macroeconomic theory. Whereas story-telling and policy analysis were in the forefront of applications since its inception, the forecasting perspective of DSGE models is only recently topical. In this study,...
Persistent link: https://www.econbiz.de/10011561187
Cover Image
The Transmission of Financial Shocks and Leverage of Banks : An Endogenous Regime Switching Framework
Hubrich, Kirstin; Waggoner, Daniel F. - 2021
We investigate the transmission of financial shocks through the macroeconomy. To that end we develop an endogenous regime-switching structural vector autoregressive model with time-varying transition probabilities. First, we allow for the transition probabilities to be dependent on the state of...
Persistent link: https://www.econbiz.de/10013242248