| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w1197 |
| 来源ID | Working Paper 1197 |
| The Profitability of Currency Speculation | |
| John F. O. Bilson; David A. Hsieh | |
| 发表日期 | 1983-09-01 |
| 出版年 | 1983 |
| 语种 | 英语 |
| 摘要 | This paper presents the results of a post-sample simulation of a speculative strategy using a portfolio of foreign currency forward contracts.The main new features of the speculative strategy are (a)the use of Kalman filters to update the forecasting equation, (b) the allowance for transactions,costs and margin requirements and (c) the endogenous determination of the leveraging of the portfolio. While the forecasting model tended to overestimate profit and underestimate risk, the strategy was still profitable over a three year period and it was possible to reject the hypothesis that the sum of profits was zero. Furthermore, the currency portfolio was found to have an extremely low market risk. Combinations of the speculative currency portfolio with traditional portfolios of U.S. equities resulted in considerable improvements in risk-adjusted returns on capital. |
| 主题 | International Economics |
| URL | https://www.nber.org/papers/w1197 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558421 |
| 推荐引用方式 GB/T 7714 | John F. O. Bilson,David A. Hsieh. The Profitability of Currency Speculation. 1983. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w1197.pdf（278KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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