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0.5% before policy rate increases. We show that available fixed income instruments allow to forecast monetary policy … policy forecast rule. Our results thus pose a major challenge for the risk-based explanations of the exchange rate dynamics … der Haltefrist- und der geldpolitischen Prognose ist. Unsere Ergebnisse stellen somit eine grosse Herausforderung für die …
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This paper provides an empirical investigation of the time-series predictive ability of foreign exchange risk measures on the return to the carry trade, a popular investment strategy that borrows in low-interest currencies and lends in high-interest currencies. Using quantile regressions, we...
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