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The multiscale causal dynamics of foreign exchange markets

Bekiros, Stelios; Marcellino, Massimiliano - In: Journal of International Money and Finance 33 (2013) C, pp. 282-305

determination of the optimal decomposition level and a wavelet-based forecasting approach. Overall, there is no indication of a …

Persistent link: https://www.econbiz.de/10010636239

Learning to forecast the exchange rate: Two competing approaches

De Grauwe, Paul; Markiewicz, Agnieszka - In: Journal of International Money and Finance 32 (2013) C, pp. 42-76

This paper compares two competing approaches to model foreign exchange market participants' behavior: statistical learning and fitness learning. These learning mechanisms are applied to a set of predictors: chartist and fundamentalist rules. We examine which of the learning approaches is best in...

Persistent link: https://www.econbiz.de/10010594667

Taylor rules and exchange rate predictability in emerging economies

Galimberti, Jaqueson K.; Moura, Marcelo L. - In: Journal of International Money and Finance 32 (2013) C, pp. 1008-1031

This study demonstrates the relationship between exchange rate determination and an endogenous monetary policy represented by Taylor rules. We fill a gap in the literature by focusing on a group of fifteen emerging economies that adopted free-floating exchange rates and inflation targeting...

Persistent link: https://www.econbiz.de/10010594691

Generating currency trading rules from the term structure of forward foreign exchange premia

Sager, Michael; Taylor, Mark P. - In: Journal of International Money and Finance 44 (2014) C, pp. 230-250

The quality of an exchange rate forecasting model has typically been judged relative to a random-walk in terms of out …

Persistent link: https://www.econbiz.de/10010800895

Short-run forecasting of the euro-dollar exchange rate with economic fundamentals

Dal Bianco, Marcos; Camacho, Maximo; Perez Quiros, Gabriel - In: Journal of International Money and Finance 31 (2012) 2, pp. 377-396

importantly, encouraging out-of-sample forecasting results at horizons ranging from one-week to one month. Specifically, we obtain … statistically significant improvements upon the hard-to-beat random-walk model using traditional statistical measures of forecasting … more economic relevance than other loss measures. With this measure, our model performs much better at all forecasting …

Persistent link: https://www.econbiz.de/10010573208

Chronicle of currency collapses: Re examining the effects on output

Bussière, Matthieu; Saxena, Sweta C.; Tovar, Camilo E. - In: Journal of International Money and Finance 31 (2012) 4, pp. 680-708

The impact of currency collapses (i.e. large nominal depreciations or devaluations) on real output remains unsettled in the empirical macroeconomic literature. This paper provides new empirical evidence on this relationship using a dataset for 108 emerging and developing economies over the...

Persistent link: https://www.econbiz.de/10010869442

Exchange rates and individual good's price misalignment: Evidence of long-horizon predictability

Dong, Wei; Nam, Deokwoo - In: Journal of International Money and Finance 32 (2013) C, pp. 611-636

-sample forecasting regressions for almost all goods in our data increase with the forecast horizon for the bilateral exchange rates …

Persistent link: https://www.econbiz.de/10011048523

The puzzling peso

Arteta, Carlos; Kamin, Steven B.; Vitanza, Justin - In: Journal of International Money and Finance 30 (2011) 8, pp. 1814-1835

In the past decade, some observers have noted an unusual aspect of the Mexican peso’s behavior: During periods when the U.S. dollar has risen (fallen) against other major currencies such as the euro, the peso has risen (fallen) against the dollar. Very few other currencies display this...

Persistent link: https://www.econbiz.de/10010577037

Price discovery in currency markets

Osler, Carol L.; Mende, Alexander; Menkhoff, Lukas - In: Journal of International Money and Finance 30 (2011) 8, pp. 1696-1718

This paper examines the price discovery process in currency markets, basing its analysis on the pivotal distinction between the customer (end-user) market and the interdealer market. It first provides evidence that this price discovery process cannot be based on adverse selection between dealers...

Persistent link: https://www.econbiz.de/10010577041

Risk-premia, carry-trade dynamics, and economic value of currency speculation

Wagner, Christian - In: Journal of International Money and Finance 31 (2012) 5, pp. 1195-1219

In this paper, we derive the dynamics and assess the economic value of currency speculation by formalizing the concept of a trader inaction range. We show that exchange rate returns comprise a time-varying risk-premium and that uncovered interest parity (UIP) holds in a speculative sense. The...

Persistent link: https://www.econbiz.de/10010599337

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