Search Results - subject:"macroeconomic fundamentals"

Country risk, macroeconomic fundamentals and uncertainty in Latin American economies

Acosta, Ali!; Barráez, Daniel; Pérez, Danyira; … - In: Monetaria : English edition 3 (2015) 2, pp. 147-174

Persistent link: https://www.econbiz.de/10011580926

Riesgo país, fundamentos macroeconómicos e incertidumbre en economías latinoamericanas

Acosta, Ali; Barráez, Daniel; Pérez, Danyira; Urbina, … - In: Monetaria 37 (2015) 2, pp. 163-195

Persistent link: https://www.econbiz.de/10011580934

Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions

Baillie, Richard; Kim, Kun Ho - In: Journal of empirical finance 34 (2015), pp. 99-111

Persistent link: https://www.econbiz.de/10011557073

Yield curve factors, term structure volatility, and bond risk premia

Hautsch, Nikolaus; Ou, Yangguoyi - 2008

extracted yield curve components have long-term prediction power for macroeconomic fundamentals. …

Persistent link: https://www.econbiz.de/10010263741

Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia

Hautsch, Nikolaus; Ou, Yangguoyi - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

extracted yield curve components have long-term prediction power for macroeconomic fundamentals. … macroeconomic fundamentals. Key words: Term Structure Modelling; Yield Curve Risk; Stochastic Volatility; Factor Models …; Macroeconomic Fundamentals JEL classification: C5, E4, G1 1 Introduction Much research in financial economics has been devoted to …

Persistent link: https://www.econbiz.de/10005677916

Forecasting China's foreign exchange reserves using dynamic model averaging: The roles of macroeconomic fundamentals, financial stress and economic uncertainty

Gupta, Rangan; Hammoudeh, Shawkat; Kim, Won Joong; … - In: The North American Journal of Economics and Finance 28 (2014) C, pp. 170-189

We develop models for examining possible predictors of growth of China's foreign exchange reserves that embrace Chinese and global trade, financial and risk (uncertainty) factors. Specifically, by comparing with other alternative models, we show that the dynamic model averaging (DMA) and dynamic...

Persistent link: https://www.econbiz.de/10010777014

Forecasting the Price of Gold Using Dynamic Model Averaging

Aye, Goodness C.; Gupta, Rangan; Hammoudeh, Shawkat; … - Department of Economics, Faculty of Economic and … - 2014

We develop models for examining possible predictors of the return on gold that embrace six global factors (business cycle, nominal, interest rate, commodity, exchange rate and stock price factors) and two uncertainty indices (the Kansas City Fed’s financial stress index and the U.S. Economic...

Persistent link: https://www.econbiz.de/10010891726

The dynamic relationship between exchange rates and macroeconomic fundamentals: Evidence from Pacific Rim countries

Chang, Ming-Jen; Su, Che-Yi - In: Journal of International Financial Markets, … 30 (2014) C, pp. 220-246

This study explores the linkages between exchange rates and macroeconomic fundamentals to determine the long … contain information about future changes in macroeconomic fundamentals which correspond to the implications of the asset …

Persistent link: https://www.econbiz.de/10010789905

Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach

Yin, Weiwei; Li, Junye - In: Journal of International Money and Finance 41 (2014) C, pp. 46-64

macroeconomic fundamentals. Jointly using data on exchange rates, yields of zero-coupon bonds, and macroeconomic variables of the US … and the Euro area, we find a close link between macroeconomic fundamentals and the exchange rate dynamics. The model …

Persistent link: https://www.econbiz.de/10010869416

Exchange Rate Forecasts and Expected Fundamentals

Dick, Christian D.; MacDonald, Ronald; Menkhoff, Lukas - Institut für Weltwirtschaft (IfW) - 2014

Using a large panel of individual professionals' forecasts, this paper demonstrates that good exchange rate forecasts are related to a proper understanding of fundamentals, specifically good interest rate forecasts. This relationship is robust to individual fixed effects and further controls....

Persistent link: https://www.econbiz.de/10011074718