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We sort currencies into portfolios by countries’ consumption growth over the past year. The excess return of the highest-consumption-growth currency portfolio over the portfolio of lowest-consumption-growth currencies is positive on average, compensating investors for large negative returns...
Persistent link: https://www.econbiz.de/10010817254
We examine the role of global and country-specific factors for the Swiss franc exchange rate in the period 1990–2009. Simple asset pricing theory would predict that exchange rates reflect relative movements in national discount factors and that systematic departures from uncovered interest...
Persistent link: https://www.econbiz.de/10008489467
We sort currencies by countries’ consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...
Persistent link: https://www.econbiz.de/10010667417
Strongly periodic series occur frequently in many disciplines. This paper reviews one specific approach to analyzing such series viz. the harmonic regression approach. In this paper, the five major methods suggested under this approach are critically reviewed and compared, and their empirical...
Persistent link: https://www.econbiz.de/10005504395
This paper provides further evidence on the recent increase in international consumption risk sharing. We show that this increase is more pronounced among EU and EMU countries than among non-E(M)U industrialised countries. We also show that the patterns of international but not intra-European...
Persistent link: https://www.econbiz.de/10005504438
The relationship between public infrastructure and international capital flows is empirically investigated. Out of a sample of 30 countries a cross-sectional econometric model is constructed to estimate the effects. Different components of infrastructure variables are tested in relation to their...
Persistent link: https://www.econbiz.de/10005475452
Persistent link: https://www.econbiz.de/10005382344
Persistent link: https://www.econbiz.de/10005402624
Strongly periodic series occur frequently in many disciplines. This paper reviews one specific approach to analyzing such series viz. the harmonic regression approach. In this paper the five major methods suggested under this approach are critically reviewed and compared, and their empirical...
Persistent link: https://www.econbiz.de/10005463539
Although the real exchange rate - real interest rate (RERI) relationship is central to most open economy macroeconomic models, empirical support for the relationship is generally found to be rather weak. In this paper we re-investigate the RERI relationship using bilateral U.S. real exchange...
Persistent link: https://www.econbiz.de/10005463545