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Option Pricing and Foreign Investment under Political Risk

Cherian, Joseph A; Perotti, Enrico C - C.E.P.R. Discussion Papers - 1999

component. We show that both the time series and the term structure of conditional volatility in general is downward sloping and … reputation. Another testable implication is that in price series without a policy reversal, implied volatility from option prices … will exceed actual volatility. Over time, and in the absence of a reversal, this wedge progressively disappears. This may …

Persistent link: https://www.econbiz.de/10005656360

Carry Trades and Global Foreign Exchange Volatility

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - C.E.P.R. Discussion Papers - 2011

We investigate the relation between global foreign exchange (FX) volatility risk and the cross-section of excess … FX volatility and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies … provide a hedge by yielding positive returns. Our proxy for global FX volatility risk captures more than 90% of the cross …

Persistent link: https://www.econbiz.de/10008867494

Home Away From Home? Safe Haven Effects and London House Prices

Badarinza, Cristian; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2013

Historical time-series data is short relative to the frequency of political and economic crises. This makes it difficult to use pure time-series methods to identify the impacts of safe haven demand on asset prices, in the face of confounding effects from a wide range of alternative drivers. We...

Persistent link: https://www.econbiz.de/10011084288

Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns

Vassalou, Maria - C.E.P.R. Discussion Papers - 2000

We test for the pricing of exchange rate and foreign inflation risk in equities. Our tests are motivated by the empirical implications of the models of Solnik (1974b) as revised by Sercu (1980), Grauer, Litzenberger, and Stehle (1976), and Adler and Dumas (1983). Both exchange rate and foreign...

Persistent link: https://www.econbiz.de/10005504518

Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-scale, Data-Snooping Robust Analysis of Technical Trading in the Foreign Exchange Market

Hsu, Po-Hsuan; Taylor, Mark P - C.E.P.R. Discussion Papers - 2014

We carry out a large-scale investigation of technical trading rules in the foreign exchange market, using daily data over a maximum of forty years for thirty developed and emerging market currencies. Employing a stepwise test to safeguard against data-snooping bias and examining over 21,000...

Persistent link: https://www.econbiz.de/10011083254

Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis

Baumeister, Christiane; Kilian, Lutz; Zhou, Xiaoqing - C.E.P.R. Discussion Papers - 2013

Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date. This approach is based on the premise that demand for crude oil derives...

Persistent link: https://www.econbiz.de/10011083532

What Do We Learn from the Price of Crude Oil Futures?

Alquist, Ron; Kilian, Lutz - C.E.P.R. Discussion Papers - 2007

Based on a two-country, two-period general equilibrium model of the spot and futures markets for crude oil, we show that there is no theoretical support for the common view that oil futures prices are good predictors of the spot price in the mean-squared error sense; yet under certain conditions...

Persistent link: https://www.econbiz.de/10005792183

Leverage as a Predictor for Real Activity and Volatility

Kollmann, Robert; Zeugner, Stefan - C.E.P.R. Discussion Papers - 2011

positively linked to the conditional volatility of future real activity and of equity returns. The joint information in sectoral …

Persistent link: https://www.econbiz.de/10008915810

Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices

Bofinger, Peter; Leitner, Johannes; Schmidt, Robert - C.E.P.R. Discussion Papers - 2004

The empirical performance of macroeconomic exchange rate models is more than disappointing. This dismal result is also reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve random walk forecasts. The root for this deficient...

Persistent link: https://www.econbiz.de/10005504428

Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach

Guidolin, Massimo; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2007

This paper develops a flexible approach to combine forecasts of future spot rates with forecasts from time-series models or macroeconomic variables. We find empirical evidence that accounting for both regimes in interest rate dynamics and combining forecasts from different models helps improve...

Persistent link: https://www.econbiz.de/10005497914