Predicting exchange rate returns
Collection:
Mokslo publikacijos / Scientific publications
Document Type:
Žurnalų straipsniai / Journal articles
Language:
Anglų kalba / English
Title:
Predicting exchange rate returns
In the Journal:
Emerging markets review, 2020, 42, 1-16 (100668)
Subject Category:
Summary / Abstract:
ENWe test whether forward premiums predict spot exchange rate returns for 16 currencies. We apply a recently developed time series predictability test that allows us to model data features including heteroskedasticity in forward premium. We discover return predictability for 75% (12/ 16) of currencies in our sample. Trading strategies show that investors can make more profits from our proposed forward premium model compared to a random walk model and foreign exchange carry trade model.
DOI:
10.1016/j.ememar.2019.100668
ISSN:
1566-0141
Subject:
Permalink:
https://www.lituanistika.lt/content/89193
Updated:
2026-02-25 13:40:43
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