Do foreign exchange return regressions convey useful information on return predictability?

Repositorio e-Archivo

Mostrar el registro sencillo del ítem

dc.contributor.author Moon, Seongman
dc.contributor.author Velasco Gómez, Carlos
dc.date.accessioned 2017-09-15T14:27:10Z
dc.date.available 2017-09-15T14:27:10Z
dc.date.issued 2017-04
dc.identifier.bibliographicCitation Moon, S. , Velasco, C. (2017), Do foreign exchange return regressions convey useful information on return predictability? , Revista de Economía Aplicada, v. 25, n. 73, pp. 5-19.
dc.identifier.issn 1133-455X
dc.identifier.uri http://hdl.handle.net/10016/25266
dc.description.abstract This paper shows the possibility that the estimates from foreign exchange return regressions contain huge noise which makes it difficult to extract useful information about the predictability of foreign excess returns, in particular, if exchange rates are generated from a typical present value model with a near unity discount factor. The main reason is that the present value model induces a large bias in the estimation of the regressions accompanied by a high variability of the estimates. We also confirm that the volatility and persistence of both the spot return and the forward premium generated from the present value model are consistent with data.
dc.description.sponsorship This paper was supported by international research funds for humanities and social science of Chonbuk National University in 2016. Support from the Ministerio Economía y Competitividad (Spain), grants ECO2012-31748, ECO2014-57007p and MDM 2014-0431, and Comunidad de Madrid, MadEco- CM (S2015/HUM-3444), is gratefully acknowledged.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Facultad de Ciencias Económicas, Universidad de Zaragoza
dc.rights ©Facultad de Ciencias Económicas, Universidad de Zaragoza
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Present value model
dc.subject.other Discount factor
dc.subject.other Contemporaneous correlation
dc.subject.other Forward premium puzzle
dc.title Do foreign exchange return regressions convey useful information on return predictability?
dc.type article
dc.relation.publisherversion https://search.proquest.com/docview/1921686706?accountid=14501
dc.subject.jel C13
dc.subject.jel F31
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2012-31748
dc.relation.projectID Gobierno de España. ECO2014-57007P
dc.relation.projectID Gobierno de España. MDM 2014-0431
dc.relation.projectID Comunidad de Madrid. S2015/HUM-3444/MADECO-CM
dc.type.version publishedVersion
dc.identifier.publicationfirstpage 5
dc.identifier.publicationissue 73
dc.identifier.publicationlastpage 19
dc.identifier.publicationtitle Revista de economía aplicada
dc.identifier.publicationvolume 25
dc.identifier.uxxi AR/0000020238
 Find Full text

Ficheros en el ítem

*Click en la imagen del fichero para previsualizar.(Los elementos embargados carecen de esta funcionalidad)


El ítem tiene asociada la siguiente licencia:

Este ítem aparece en la(s) siguiente(s) colección(es)

Mostrar el registro sencillo del ítem