| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8045 |
| DP8045 The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? | |
| LUCIO SARNO; Pasquale Della Corte; Giulia Sestieri | |
| 发表日期 | 2010-10-23 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | This paper examines the exchange rate predictability stemming from the equilibrium model of international financial adjustment developed by Gourinchas and Rey (2007). Using predictive variables that measure cyclical external imbalances for country pairs, we assess the ability of this model to forecast out-of-sample four major US dollar exchange rates using various economic criteria of model evaluation. The analysis shows that the model provides economic value to a risk-averse investor, delivering substantial utility gains when switching from a portfolio strategy based on the random walk benchmark to one that conditions on cyclical external imbalances. |
| 主题 | International Macroeconomics |
| 关键词 | Foreign exchange Fundamentals Global imbalances Predictability |
| URL | https://cepr.org/publications/dp8045 |
| 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/536896 |
| 推荐引用方式 GB/T 7714 | LUCIO SARNO,Pasquale Della Corte,Giulia Sestieri. DP8045 The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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