Exchange Rate Predictability
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Exchange Rate Predictability
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Author : Barbara Rossi
language : en
Publisher:
Release Date : 2013
Exchange Rate Predictability written by Barbara Rossi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Foreign exchange categories.
The main goal of this article is to provide an answer to the question: "Does anything forecast exchange rates, and if so, which variables?". It is well known that exchange rate fluctuations are very difficult to predict using economic models, and that a random walk forecasts exchange rates better than any economic model (the Meese and Rogoff puzzle). However, the recent literature has identified a series of fundamentals/methodologies that claim to have resolved the puzzle. This article provides a critical review of the recent literature on exchange rate forecasting and illustrates the new methodologies and fundamentals that have been recently proposed in an up-to-date, thorough empirical analysis. Overall, our analysis of the literature and the data suggests that the answer to the question: "Are exchange rates predictable?" is, "It depends" on the choice of predictor, forecast horizon, sample period, model, and forecast evaluation method. Predictability is most apparent when one or more of the following hold: the predictors are Taylor rule or net foreign assets, the model is linear, and a small number of parameters are estimated. The toughest benchmark is the random walk without drift.
Equilibrium Exchange Rates And Exchange Rate Predictability
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Author : Ronald MacDonald
language : en
Publisher:
Release Date : 2003
Equilibrium Exchange Rates And Exchange Rate Predictability written by Ronald MacDonald and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Foreign exchange rates categories.
Handbook Of Exchange Rates
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Author : Jessica James
language : en
Publisher: John Wiley & Sons
Release Date : 2012-05-29
Handbook Of Exchange Rates written by Jessica James and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-29 with Business & Economics categories.
Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Literature Review On Exchange Rate Modeling
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Author : Richard Works
language : en
Publisher: Richard Floyd Works
Release Date :
Literature Review On Exchange Rate Modeling written by Richard Works and has been published by Richard Floyd Works this book supported file pdf, txt, epub, kindle and other format this book has been release on with Education categories.
This is a literature review on exchange rate modeling. This is taken from my doctoral dissertation (My copyright registration number: TX 8-435-669). This may be helpful if you're seeking information on exchange rate, interest rates, gross domestic product, inflation, and money supply. It may also be helpful in understanding the origins of the sticky-price monetary model.
Price Efficiency And Return Predictability In International Currency Markets
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Author : Robert Glenn Murdock
language : en
Publisher:
Release Date : 1997
Price Efficiency And Return Predictability In International Currency Markets written by Robert Glenn Murdock and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Currency question categories.
The Predictability Of Real Exchange Rate Changes In The Short And Long Run
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Author : Robert Cumby
language : en
Publisher:
Release Date : 1990
The Predictability Of Real Exchange Rate Changes In The Short And Long Run written by Robert Cumby and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Foreign exchange categories.
Nominal exchange rates do not move to offset differences in inflation rates on a month to month, quarter to quarter, or even year to year basis, resulting in sizable real exchange rate changes. Are these changes predictable? We address this question in three ways. First, we describe a variety of tests of predictability and explain how the different tests are related. Next, we implement the tests for the U.S. dollar relative to four currencies and find statistically significant evidence that real exchange rate changes are predictable. Finally, we examine whether the predictability is of an economically interesting magnitude.
Exchange Rate Regimes And The Expectations Hypothesis Of The Term Structure
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Author : Stefan Gerlach
language : en
Publisher:
Release Date : 1997
Exchange Rate Regimes And The Expectations Hypothesis Of The Term Structure written by Stefan Gerlach and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Euro-dollar market categories.
Long
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Author : Mr.Lorenzo Giorgianni
language : en
Publisher: International Monetary Fund
Release Date : 1997-01-01
Long written by Mr.Lorenzo Giorgianni and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-01-01 with Business & Economics categories.
Several authors have recently investigated the predictability of exchange rates by fitting a sequence of long-horizon error-correction regressions. By considering the implied vector error-correction model, we show that little is to be gained from estimating such regressions for horizons greater than one time period. We also show that in small to medium samples the long-horizon procedure gives rise to spurious evidence of predictive power. A simulation study demonstrates that even when using this technique on two independent series, estimates, diagnostic statistics and graphical evidence incorrectly suggest a high degree of predictability of the dependent variable.
Fiscal Policy And The Predictability Of Exchange Rate Collapse
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Author : Ms.Betty C. Daniel
language : en
Publisher: International Monetary Fund
Release Date : 1997-10-01
Fiscal Policy And The Predictability Of Exchange Rate Collapse written by Ms.Betty C. Daniel and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-10-01 with Business & Economics categories.
It is well known that the long-run viability of a fixed exchange rate regime imposes constraints on monetary policy. This paper shows that, in a model with forward-looking agents, short-run viability imposes a fiscal constraint. When policy change, which destroys long-run viability, also violates the fiscal constraint, collapse is instantaneous. Delayed predictable collapse requires satisfaction of the fiscal constraint.
Exchange Rate Forecasting
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Author : Jon Faust
language : en
Publisher:
Release Date : 2001
Exchange Rate Forecasting written by Jon Faust and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Foreign exchange rates categories.