Foreign Exchange Predictability During The Financial Crisis

DOWNLOAD

Download Foreign Exchange Predictability During The Financial Crisis PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Foreign Exchange Predictability During The Financial Crisis book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page

Foreign Exchange Predictability During The Financial Crisis

DOWNLOAD
Author : Stanislav Anatolyev
language : en
Publisher:
Release Date : 2017

Foreign Exchange Predictability During The Financial Crisis written by Stanislav Anatolyev and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability than raw returns. We allow the two components to respond to currency-specific risk factors and use the joint conditional distribution of these components to obtain forecasts of future carry trade returns. Our results suggest that the decomposition model produces higher forecast and directional accuracy than any of the competing models. We show that the forecasting gains translate into economically and statistically significant (risk-adjusted) profitability when trading individual currencies or forming currency portfolios based on the predicted returns from the decomposition model.

Forecasting Exchange Rates Employing Technical And Fundamental Data Before And During The Financial Crisis

DOWNLOAD
Author : Gion Donat Piras
language : en
Publisher:
Release Date : 2014

Forecasting Exchange Rates Employing Technical And Fundamental Data Before And During The Financial Crisis written by Gion Donat Piras and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

It is a well known fact that a naive random walk generates better exchange rate forecasts than economic models. The exchange rate is episodically unstable and the switching nature is inconsistent with a linear representation. However, empirical evidence in favour of non-linear models such as regime switching models, neural networks or non-parametric ones is weak. The present paper adopts an econometric method, which incorporates dynamic model averaging (DMA) and selection (DMS). The DMA / DMS framework adds additionally layers of flexibility by allowing parameters as well as the entire forecasting model to evolve over time. In addition this paper takes a different approach by forecasting exchange rates at a daily frequency. Thereby financial data is used as a proxy for macro-economic fundamentals and technical indicators are included in the set of potential predictor variables. The paper shows strong empirical evidence in favour of the employed model in the period before the bankruptcy of Lehman Brothers. During the financial crisis predictability in terms of the mean squared forecast error breaks down. The time-varying evolution of fundamental and technical forecasts allows investigating the evolution of the influence of two types of agents (fundamentalists and chartists) believed to operate in the foreign exchange market.

Predictability And Good Deals In Emerging And Developed Currency Markets

DOWNLOAD
Author : Richard M. Levich
language : en
Publisher:
Release Date : 2018

Predictability And Good Deals In Emerging And Developed Currency Markets written by Richard M. Levich and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.

We study the predictability of forward and spot exchange rates of currencies of emerging and developed economies from 1994 to 2016 to shed light on the efficiency of currency markets and how it has evolved over this time. For the currencies of emerging economies, our analysis of rates of return on forward contracts finds some evidence of excess-predictability, especially in the earlier parts of the sample period, consistent with the view that this portion of the foreign exchange market has only become efficient in recent times. When we turn our attention to excess-returns computed from spot exchange rates and spot interest rates, however, we find much less predictability. In particular, over our full sample period, we find no evidence of excess-predictability, in contrast with the results reported by Hsu et al. (2016) but in agreement with Kuang et al. (2014). The different predictability of spot excess-returns and rates of return on forward contracts is a manifestation of the widespread violation of covered interest parity which emerged with the onset of the 2008 financial crisis.

Foreign Exchange Rates

DOWNLOAD
Author : Arif Orçun Söylemez
language : en
Publisher: Routledge
Release Date : 2021-02-07

Foreign Exchange Rates written by Arif Orçun Söylemez and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-02-07 with Business & Economics categories.

Predicting foreign exchange rates has presented a long-standing challenge for economists. However, the recent advances in computational techniques, statistical methods, newer datasets on emerging market currencies, etc., offer some hope. While we are still unable to beat a driftless random walk model, there has been serious progress in the field. This book provides an in-depth assessment of the use of novel statistical approaches and machine learning tools in predicting foreign exchange rate movement. First, it offers a historical account of how exchange rate regimes have evolved over time, which is critical to understanding turning points in a historical time series. It then presents an overview of the previous attempts at modeling exchange rates, and how different methods fared during this process. At the core sections of the book, the author examines the time series characteristics of exchange rates and how contemporary statistics and machine learning can be useful in improving predictive power, compared to previous methods used. Exchange rate determination is an active research area, and this book will appeal to graduate-level students of international economics, international finance, open economy macroeconomics, and management. The book is written in a clear, engaging, and straightforward way, and will greatly improve access to this much-needed knowledge in the field.

Are Currency Crises Predictable A Test

DOWNLOAD
Author : Ms.Catherine A. Pattillo
language : en
Publisher: International Monetary Fund
Release Date : 1998-11-01

Are Currency Crises Predictable A Test written by Ms.Catherine A. Pattillo 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 1998-11-01 with Business & Economics categories.

This paper evaluates three models for predicting currency crises that were proposed before 1997. The idea is to answer the question: if we had been using these models in late 1996, how well armed would we have been to predict the Asian crisis? The results are mixed but somewhat encouraging. One model, and our modifications to it, provide useful forecasts, at least compared with a naive benchmark. The head-to-head comparison also sheds light on the economics of currency crises, the nature of the Asian crisis, and issues in the empirical modeling of currency crises.

Are Currency Crises Predictable

DOWNLOAD
Author : Mr.Ilan Goldfajn
language : en
Publisher: International Monetary Fund
Release Date : 1997-12-01

Are Currency Crises Predictable written by Mr.Ilan Goldfajn 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 1997-12-01 with Business & Economics categories.

This paper studies whether exchange rate expectations and overvaluations are predictors of currency crises. The results suggest that overvaluation has predictive power in explaining crises. However, although expected depreciation obtained from survey data partially takes different measures of exchange rate misalignment into consideration, expectations fail to anticipate currency crises.

Taylor Rule Exchange Rate Forecasting During The Financial Crisis

DOWNLOAD
Author : Tanya Molodtsova
language : en
Publisher:
Release Date : 2012

Taylor Rule Exchange Rate Forecasting During The Financial Crisis written by Tanya Molodtsova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Economics categories.

This paper evaluates out-of-sample exchange rate predictability of Taylor rule models, where the central bank sets the interest rate in response to inflation and either the output or the unemployment gap, for the euro/dollar exchange rate with real-time data before, during, and after the financial crisis of 2008-2009. While all Taylor rule specifications outperform the random walk with forecasts ending between 2007:Q1 and 2008:Q2, only the specification with both estimated coefficients and the unemployment gap consistently outperforms the random walk from 2007:Q1 through 2012:Q1. Several Taylor rule models that are augmented with credit spreads or financial condition indexes outperform the original Taylor rule models. The performance of the Taylor rule models is superior to the interest rate differentials, monetary, and purchasing power parity models.

Exchange Rate Predictability In A Changing World

DOWNLOAD
Author : Joseph P. Byrne
language : en
Publisher:
Release Date : 2014

Exchange Rate Predictability In A Changing World written by Joseph P. Byrne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

The Effects Of Exchange Rate Market Disequilibrium On Stock Price Predictability And Property Stock Performance Under A Currency Board System

DOWNLOAD
Author : C. Cheung
language : en
Publisher:
Release Date : 2017-01-26

The Effects Of Exchange Rate Market Disequilibrium On Stock Price Predictability And Property Stock Performance Under A Currency Board System written by C. Cheung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-26 with categories.

This dissertation, "The Effects of Exchange-rate Market Disequilibrium on Stock Price Predictability and Property Stock Performance Under a Currency Board System" by C, Cheung, 張楚強, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of thesis entitled The Effects of Exchange-Rate Market Disequilibrium on Stock Price Predictability and Property Stock Performance under a Currency Board System Submitted by Victor C. Cheung for the degree of Doctor of Philosophy at the University of Hong Kong in May 2005 This thesis examines how the Exchange-rate Market Disequilibrium (the EMD) resulting from a significant shock can lead to the short-term stock price predictability in a developed and open stock market under a Currency Board system. A significant shock is defined as any external shock giving rise to the EMD such that: (1) the fixed exchange-rate becomes over-valued and necessitates the operation of the abnormal mechanism of the Currency Board to maintain it; and (2) the market fears that devaluation or de-linking will have a long-term detrimental effect on the economy. This study hypothesizes that the EMD causes the short-term stock price predictability. Under a Currency Board system, the stock market is closely linked to the exchange-rate market. When the exchange-rate market is in disequilibrium, an excess-return opportunity arises in the exchange-rate market (that is, trading against the over-valued currency), and then spills over the stock market, for three reasons: (i) a downward asset price adjustment under the currency rigidity, (ii) a confidence crisis resulting from the possible de-linking, and (iii) the negative impact of operations by the Currency Board, such as a rise in the interest rate. Thus, if the government only concentrates on using the Currency Board's operation to uphold the currency in the exchange-rate market, speculators, especially the macro hedge funds, have a good chance to capture the excess returns in the exchange-rate market and/or the stock market. However, in a developed stock market, speculators need to act in collusion to fully capture such excess returns. Because the EMD offers high excess returns and a low downside risk (limited to the loss in the exchange-rate market resulting from the Currency Board's measures) and the number of colluders is relatively small, collusion is possible and sustainable. Since collusion creates the information asymmetry in the stock market, the stock prices become predictable, until collusion or the EMD ceases (for instance, as a result of the government intervention in the stock market or the changes in the fundamentals). To substantiate this hypothesis, this thesis examines the patterns of the stock and exchange-rate returns in Hong Kong in the summer of 1998 (shortly after the Asian financial crisis and during which the exchange-rate was upheld with the interest-rate hikes) to identify the EMD, collusion, and stock price predictability. Our findings support the hypothesis. The results show that (1) the property stock, whose underlying assets are long-lasting, immobile and capital-intensive properties, declined more than the other stocks in this period, suggesting that it was an EMD period in which the market felt that de-linking would have a detrimental long-term effect on the economy; (2) the collusion signals prevailed in this period, indicating the sustainable collusive trading activities; and (3) the stock price was predictable in this period, and unpredictable otherwise. This stud

A Leading Indicators Approach To The Predictability Of Currency Crises

DOWNLOAD
Author : Bengi Kibritcioglu
language : en
Publisher:
Release Date : 2001

A Leading Indicators Approach To The Predictability Of Currency Crises written by Bengi Kibritcioglu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.

In this paper, we present a leading economic indicators approach to the predictability of currency crises in Turkey. After summarizing main theoretical models of currency crises and discussing the possible origins of financial crises in the European ERM countries (1992-93), Turkey (1994) and Southeast Asian countries (1997-98), we survey the empirical literature on the predictability of currency crises. Our leading economic indicators approach based on Burns and Mitchell (1946) shows that terms-of-trade, market-determined exchange rate over official exchange rate and some specific survey data can be considered as major leading economic indicators of currency crises in Turkey.