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Exchange rate forecasters' performance: Evidence of skill?
MacDonald, Ronald; Menkhoff, Lukas; Rebitzky, Rafael R. - 2009
This paper sheds new light on a long-standing puzzle in the international finance literature, namely, that exchange rate expectations appear inaccurate and even irrational. We find for a comprehensive dataset that individual forecasters' performance is skill-based. 'Superior' forecasters show...
Persistent link: https://www.econbiz.de/10010264610
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A panel data investigation of real exchange rate misalignment and growth
MacDonald, Ronald; Vieira, Flávio - 2010
are: real per capita GDP; net foreign assets; terms of trade and government consumption. The results for the two …
Persistent link: https://www.econbiz.de/10010270496
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Markov switching regimes in a monetary exchange rate model
Frömmel, Michael; MacDonald, Ronald; Menkhoff, Lukas - 2002
This paper extends the real interest differential (RID) model of Frankel (1979) by introducing Markov regime switches for three exchange rates over the years 1973 - 2000. Evidence of a non-linear relationship between exchange rates and underlying fundamentals is provided. One of the regimes...
Persistent link: https://www.econbiz.de/10010317625
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Carry funding and safe haven currencies : a threshold regression approach
Hossfeld, Oliver; MacDonald, Ronald - 2014
to distinguish between a low- and high stress regime, and to control for the impact of carry trade reversals and other … controlling for the impact of carry trade reversals. The latter issue has largely been brushed aside in the extant literature but …
Persistent link: https://www.econbiz.de/10010462763
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Carry funding and safe haven currencies : a threshold regression approach
Hossfeld, Oliver; MacDonald, Ronald - 2014
to distinguish between a low- and high stress regime, and to control for the impact of carry trade reversals and other … controlling for the impact of carry trade reversals. The latter issue has largely been brushed aside in the extant literature but …
Persistent link: https://www.econbiz.de/10010433356
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The real exchange rate in the long run : Balassa-Samuelson effects reconsidered
Bordo, Michael D.; Choudhri, Ehsan U.; Fazio, Giorgio; … - 2014
the results in terms of contemporary variants of the model that incorporate the terms of trade mechanism. Specifically we … argue that changes in trade costs over time may affect the impact of productivity on the real exchange rate over time. We … with the behavior of trade costs can explain the cross-regime variation of the productivity effect. …
Persistent link: https://www.econbiz.de/10010374513
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A panel data investigation of real exchange rate misalignment and growth
MacDonald, Ronald; Vieira, Flavio Vilela - 2010
are: real per capita GDP; net foreign assets; terms of trade and government consumption. The results for the two …
Persistent link: https://www.econbiz.de/10003969632
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Global Currency Misalignments, Crash Sensitivity, and Moment Risk Premia
Huang, Huichou - 2016
In this paper we investigate 3 important properties of global currencies: misalignments measured by the deviations from … moment risk premia using a model-free method -- volatility risk premia as the proxy for (relative) position insurance costs …, and skew risk premia as the gauge for (carry trade) speculative inclinations. The overvalued (undervalued) currencies with …
Persistent link: https://www.econbiz.de/10013006744
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Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia
Huang, Huichou - 2016
In this paper we derive the measure of position-unwinding risk of currency carry trade portfolios from the currency … currency volatility, and highly correlated with global currency skewness risk. We show that high interest-rate currencies are … trade payoffs into sovereign credit premium, interest rate differential, and expected exchange rate depreciation …
Persistent link: https://www.econbiz.de/10013007414
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Carry Funding and Safe Haven Currencies : A Threshold Regression Approach
Hossfeld, Oliver - 2016
to distinguish between a low- and high stress regime, and to control for the impact of carry trade reversals and other … controlling for the impact of carry trade reversals. The latter issue has largely been brushed aside in the extant literature but …
Persistent link: https://www.econbiz.de/10012988716