| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6629 |
| DP6629 Unravelling Secularization: an International Study | |
| Shoshana Neuman; Pablo Brañas-Garza; Teresa García-Muñoz | |
| 发表日期 | 2008-01-11 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | This paper provides a comprehensive evaluation of the short-horizon predictive ability of economic fundamentals and forward premia on monthly exchange rate returns in a framework that allows for volatility timing. We implement Bayesian methods for estimation and ranking of a set of empirical exchange rate models, and construct combined forecasts based on Bayesian Model Averaging. More importantly, we assess the economic value of the in-sample and out-of-sample forecasting power of the empirical models, and find two key results: (i) a risk averse investor will pay a high performance fee to switch from a dynamic portfolio strategy based on the random walk model to one which conditions on the forward premium with stochastic volatility innovations; and (ii) strategies based on combined forecasts yield large economic gains over the random walk benchmark. These two results are robust to reasonably high transaction costs. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Exchange rates Economic value Forward premium Monetary fundamentals Volatility Bayesian mcmc estimation Bayesian model averaging |
| URL | https://cepr.org/publications/dp6629 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535463 |
| 推荐引用方式 GB/T 7714 | Shoshana Neuman,Pablo Brañas-Garza,Teresa García-Muñoz. DP6629 Unravelling Secularization: an International Study. 2008. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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