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Should one rely on professional exchange rate forecasts : an empirical analysis of professional forecasts for the €/US-$ rate
Bofinger, Peter; Schmidt, Robert - 2003
The study analyses the characteristics of professional exchange rate forecasts for the € /US-$ rate. The results indicate that the quality of forecasts produced by professional economists is rather poor and incompatible with the rational expectations hypothesis. This dismal result is according...
Persistent link: https://www.econbiz.de/10010498977
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Zur Qualität professioneller Wechselkursprognosen : sind professionelle Wechselkursprognosen eine sinnvolle Entscheidungshilfe für Unternehmen und Investoren?/ Robert Schmidt
Schmidt, Robert - 2003
Die Berücksichtigung der zukünftigen Entwicklung des Wechselkurses ist sowohl für internationale Unternehmen als auch für international tätige Investoren unabdingbar. Allerdings ist die Erstellung von Wechsel- kursprognosen schwierig, da bis zum heutigen Zeitpunkt kein allgemein anerkanntes...
Persistent link: https://www.econbiz.de/10010498979
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How Stable are Monetary Models of the Dollar-Euro Exchange Rate? A Time-Varying Coefficient Approach
Beckmann, Joscha; Belke, Ansgar Hubertus; Kuehl, Michael - 2009
exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro …
Persistent link: https://www.econbiz.de/10014201977
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Euro Conversion and the Competition for Order Flow Among European Exchanges
Dewenter, Kathryn L. - 2013
We examine how euro conversion affected trading costs and volume in European equity markets. Euro conversion … deteriorated in some markets and improved in others. These effects occurred on both euro and non-euro European exchanges. Our … results are strongly consistent with the hypothesis that euro conversion boosted competition for order flow among the …
Persistent link: https://www.econbiz.de/10013077405
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How Can Asset Prices Value Exchange Rate Wedges?
Lewis, Karen K.; Liu, Edith - National Bureau of Economic Research - 2022
When available financial securities allow investors to optimally diversify risk across countries, standard theory …
Persistent link: https://www.econbiz.de/10013388777
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Foreign Exchange Dealer Asset Pricing
Reitz, Stefan - 2019
We show that excess returns to the carry trade can be interpreted as compensation for foreign exchange dealers' capital risk. Given that the top market makers in foreign exchange are at the heart of the market's information aggregation process we also suggest that it is their marginal value of...
Persistent link: https://www.econbiz.de/10012860811
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Foreign exchange risk premia and goods market frictions
Moon, Seongman - In: Journal of East Asian economic integration 19 (2015) 1, pp. 3-38
Fama’s (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods markets frictions. Using a sticky-price general...
Persistent link: https://www.econbiz.de/10011572824
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Intertemporal Risk-Return Trade-Off in Foreign Exchange Rates
Christiansen, Charlotte - 2011
We investigate the intertemporal risk-return trade-off of foreign exchange (FX) rates for ten currencies quoted against the USD. For each currency, we use three risk measures simultaneously that pertain to that currency; its realized volatility, its realized skewness, and its value-at-risk. We...
Persistent link: https://www.econbiz.de/10013133578
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Foreign Exchange Return Predictability : Rational Expectations Risk Premium vs. Expectational Errors
Moon, Seongman - 2019
We propose a simple identification scheme for the causes of the violations of uncovered interest parity. Our method uses the serial dependence patterns of excess returns as a criterion for judging performance of economic models. We show that a mean reverting component in excess returns,...
Persistent link: https://www.econbiz.de/10012895804
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Intertemporal Risk-Return Trade-Off in Foreign Exchange Rates
Christiansen, Charlotte - 2017
We investigate the intertemporal risk-return trade-off of foreign exchange (FX) rates for ten currencies quoted against the USD. For each currency, we use three risk measures simultaneously that pertain to that currency; its realized volatility, its realized skewness, and its value-at-risk. We...
Persistent link: https://www.econbiz.de/10012976547