In this paper, we study predictability of exchange rates and explore determinants of its dynamics over time. We model the admissible amount of predictability in two ways, each corresponding in a stylized manner to a broad class of rational currency pricing models, namely those under which the...

This paper studies predictability of currency returns over time and the extent to which it is captured by trading rules commonly used in currency markets. We consider the strategies that an investor endowed with rational expectations could have pursued to exploit out-of-sample currency...

We re-examine diversification benefits of investing in commodities and currencies by considering a risk-averse investor with mean-variance preferences who exploits the possibility of predictable time variation in asset return means, variances, and covariances. We implement unconditional and...