This paper provides an empirical investigation of the time-series predictive ability of foreign exchange risk measures on the return to the carry trade, a popular investment strategy that borrows in low-interest currencies and lends in high-interest currencies. Using quantile regressions, we...

This paper provides a comprehensive evaluation of the short-horizon predictive ability of economic fundamentals and forward premiums on monthly exchange-rate returns in a framework that allows for volatility timing. We implement Bayesian methods for estimation and ranking of a set of empirical...

This paper shows that economic fundamentals can generate reliable out-of-sample forecasts for exchange rates when prediction is based on a "kitchen-sink" regression that incorporates multiple predictors. The key to establishing predictability is estimating the kitchen-sink regression with the...