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The portfolio theory of inflation and policy (in)effectiveness revisited : corroborating evidence
Bossone, Biagio; Cuccia, Andrea - 2020
This study revisits and tests empirically the Portfolio Theory of Inflation (PTI), which analyzes how the effectiveness … (Bossone, The portfolio theory of inflation and policy (in)effectiveness, 2019). The PTI shows that when an economy is heavily …
Persistent link: https://www.econbiz.de/10012140238
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Mean-Variance Efficiency of Reserve Portfolios
Kim, Daehwan - 2011
This paper analyzes the mean-variance efficiency of the reserve portfolios of central banks in an effort to shed light on the recent debate regarding the need for portfolio diversification. Using likelihood ratio test statistics, we examine the efficiency of the reserve portfolios of 18...
Persistent link: https://www.econbiz.de/10013117801
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Portfoliogleichgewicht bei festem Wechselkurs
Reither, Franco - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 31 (2002) 2, pp. 75-79
Persistent link: https://www.econbiz.de/10001642932
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Carry Trade Strategies with Factor Augmented Macro Fundamentals : A Dynamic Markov-Switching Factor Model
Ogruk-Maz, Gokcen - 2017
This paper evaluates the performance of carry trade strategies with macro fundamentals in a Markov switching dynamic factor augmented regression framework and compares the performance statistics with the benchmark model of a random walk and momentum strategy. I make simulations with the Japanese...
Persistent link: https://www.econbiz.de/10012963675
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Assessing the Accuracy of Exponentially Weighted Moving Average Models for Value-at-Risk and Expected Shortfall of Crypto Portfolios
Alexander, Carol; Dakos, Michael - 2022
A plethora of academic papers on generalized autoregressive conditional heteroscedasticity (GARCH) models for bitcoin and other cryptocurrencies have been published in academic journals. Yet few, if indeed any, of these are employed by practitioners. Previous academic studies produce results...
Persistent link: https://www.econbiz.de/10013292091
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The portfolio theory of inflation and policy (in)effectiveness
Bossone, Biagio - 2019
taken by domestic agents. The Portfolio Theory of Inflation (PTI) developed in this study assumes that some critical … resources internationally based, inter alia, on the perceived policy credibility of the national authorities and their policies …. The PTI shows that when a country has low credibility and is heavily indebted, investors hold its economy to a tighter …
Persistent link: https://www.econbiz.de/10012012446
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The portfolio theory of inflation (and policy effectiveness)
Bossone, Biagio - 2019
The Portfolio Theory of Inflation (PIT) proposed in this study investigates the role of global financial markets in … policy credibility: when a country's credibility is low, they hold its economy to a tighter intertemporal budget constraint … credibility creates space for effective and noninflationary macro policies but, if such space is abused, credibility gets …
Persistent link: https://www.econbiz.de/10011993031
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Foreign Exchange Intervention When Interest Rates are Zero : Does the Portfolio Balance Channel Matter after All?
Fatum, Rasmus - 2015
The Japanese zero-interest rate period provides a “natural experiment” for investigating the effectiveness and transmission channels of sterilized intervention when traditional monetary policy options are constrained. This paper takes advantage of the fact that all interventions in the...
Persistent link: https://www.econbiz.de/10013038672
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Dynamic Hedging of Currency Risk in Investment Strategies
Chakravorty, Gaurav - 2019
Often, investors fully hedge their portfolios for currency risk. This can lead to significant drag in performance for currencies with negative carry. However, not hedging the foreign currency exposure can lead to significant drawdowns, especially for conservative investments. In this paper, we...
Persistent link: https://www.econbiz.de/10012897279
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Foreign Exchange Intervention When Interest Rates are Zero : Does the Portfolio Balance Channel Matter after All?
Fatum, Rasmus - 2015
This paper provides an empirical investigation of transmission channels of central bank foreign exchange intervention when interest rates are zero and traditional monetary policy options are constrained. The paper develops empirically testable hypotheses regarding the functioning of the...
Persistent link: https://www.econbiz.de/10013011398