We provide an in-depth analysis of the predictive ability of models with fundamentals and technical indicators for fourteen emerging market currencies. Our findings suggest that the forecasts from the symmetric Taylor rule as well as from a predictive regression exploiting the informational...

The main objective of this paper is to investigate the diversification role of currency momentum for carry trade crashes during the turbulent periods surrounding the 1997-1998 Asian financial crisis and the 2007-2008 global financial crisis. The motivation is to use an important tendency of...

I examine the profitability of three simple foreign exchange technical trading rules (moving average, momentum, and relative strength index) before, during and after the 2007-2008 global financial crisis. The overall findings reveal that these technical indicators could produce statistically...

This chapter book identifies three crisis warning indicators driven from trading in emerging markets' carry trades, and empirically examines whether these indicators could predict two major financial crises that hit the global financial markets in the last decades – The 1997-1998 Asian crisis...

Using data from G5 developed countries, this paper investigates the impact of the financial crises on the integration of equity markets. To this end, a modified version of the Fama and French two-factor model (1998) such that the currency risk is incorporated as an additional economic risk...