| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11970 |
| DP11970 The Quanto Theory of Exchange Rates | |
| Ian Martin | |
| 发表日期 | 2017-04-19 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via panel regressions that the quanto forecast variable is a statistically and economically significant predictor of currency appreciation. We also test the quanto variable's ability to forecast differential currency appreciation out of sample, and find that it outperforms predictions based on uncovered interest parity, on purchasing power parity, and on a random walk. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Exchange rate forecast exchange rate Currency Forecasting Predictability Carry trade Quanto contracts |
| URL | https://cepr.org/publications/dp11970 |
| 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/540781 |
| 推荐引用方式 GB/T 7714 | Ian Martin. DP11970 The Quanto Theory of Exchange Rates. 2017. |
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