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Exchange Rates and Asset Prices: Heterogeneous Agents at Work

Piccillo, Giulia - 2013

This paper merges two branches of the literature. On one hand we study a heterogeneous agents framework to model exchange rates and stock prices. On the other hand we model the relationship between these two series through a DSGE model. Investors choose one of two rules to form their...

Persistent link: https://www.econbiz.de/10010317058

The carry trade and fundamentals: Nothing to fear but FEER itself

Jordà, Òscar; Taylor, Alan M. - In: Journal of International Economics 88 (2012) 1, pp. 74-90

Risky arbitraging based on interest rate differentials between two countries is typically referred to as a carry trade. Up until the recent global financial crisis, these trades generated years of persistent positive returns, which were hard to reconcile with standard pricing kernels. In 2008...

Persistent link: https://www.econbiz.de/10011056353

Emerging markets and heavy tails

Ibragimov, Marat; Ibragimov, Rustam; Kattuman, Paul - In: Journal of Banking & Finance 37 (2013) 7, pp. 2546-2559

Emerging countries are held to be subject to more frequent and more pronounced external and internal shocks than their developed counter-parts. This suggests that key variables pertaining to their markets, including their exchange rates, will be marked by greater likelihood of extreme...

Persistent link: https://www.econbiz.de/10011065591

Learning to forecast the exchange rate: Two competing approaches

De Grauwe, Paul; Markiewicz, Agnieszka - In: Journal of International Money and Finance 32 (2013) C, pp. 42-76

This paper compares two competing approaches to model foreign exchange market participants' behavior: statistical learning and fitness learning. These learning mechanisms are applied to a set of predictors: chartist and fundamentalist rules. We examine which of the learning approaches is best in...

Persistent link: https://www.econbiz.de/10010594667

Monetary and Financial Integration in Asia: Introduction

Benassy-Quere, Agnes; Mignon, Valerie - In: Economie Internationale (2007) 111, pp. 5-8

Surging growth and rising interdependence of East-Asian economies during the last two decades have heightened interest in monetary and financial integration. From 1985 to 2005, the share of intra-regional trade in total trade for the South-East and East Asian region (including Japan) grew from...

Persistent link: https://www.econbiz.de/10010602615

Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?

Li, Jiahan; Tsiakas, Ilias; Wang, Wei - Rimini Centre for Economic Analysis (RCEA) - 2014

the effect of less informative predictors in out-of-sample forecasting. Using statistical and economic measures of …

Persistent link: https://www.econbiz.de/10010748422

How would Capital Account Liberalisation Affect China's Capital Flows and the Renminbi Real Exchange Rates?

He, Dong; Cheung, Lillian; Zhang, Wenlang; Wu, Tommy - Hong Kong Institute for Monetary Research (HKIMR), … - 2012

In this paper we study the determinants of gross capital flows, project the size of China's international investment positions in 2020 and analyse the implications for the renminbi real exchange rates. We assume in this exercise that the renminbi will have largely achieved capital account...

Persistent link: https://www.econbiz.de/10010633212

Evaluating non-linear models on point and interval forecasts: an application with exchange rates

Boero, Gianna; Marrocu, Emanuela - In: Banca Nazionale del Lavoro Quarterly Review 58 (2005) 232, pp. 91-120

The aim of this paper is to compare the forecasting performance of SETAR and GARCHmodels against a linear benchmark … produces some evidence of forecasting gains from nonlinear models in sub-samples characterised by stronger non … models, especially at forecasting events in the tail regions of the distribution. …

Persistent link: https://www.econbiz.de/10010658898

Evaluating non-linear models on point and interval forecasts: an application with exchange rates

Boero, Gianna; Marrocu, Emanuela - In: BNL Quarterly Review 58 (2005) 232, pp. 91-120

Persistent link: https://www.econbiz.de/10010854300

Exchange rate returns and external adjustment: evidence from Switzerland

Grisse, Christian; Nitschka, Thomas - Schweizerische Nationalbank (SNB) - 2014

This paper studies the ability of external imbalances to indicate subsequent exchange rate returns. We propose a simple twist of the Gourinchas and Rey (2007) approximation to the intertemporal budget constraint which is valid for countries that are net creditors (or net debtors) consistently...

Persistent link: https://www.econbiz.de/10011098076