Openly accessible

Predicting exchange rate returns

Narayan, Paresh, Sharma, Susan, Phan, Dinh and Liu, G 2020, Predicting exchange rate returns, Emerging Markets Review, pp. 1-16, doi: 10.1016/j.ememar.2019.100668.

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Title Predicting exchange rate returns
Author(s) Narayan, PareshORCID iD for Narayan, Paresh orcid.org/0000-0001-7934-8146
Sharma, SusanORCID iD for Sharma, Susan orcid.org/0000-0002-7297-1557
Phan, Dinh
Liu, G
Journal name Emerging Markets Review
Article ID 100668
Start page 1
End page 16
Total pages 16
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2020-01-01
ISSN 1566-0141
1873-6173
Keyword(s) Exchange rate
Forward premium
Heteroskedasticity
Persistency
Endogeneit
Predictability
Summary © 2019 We test whether forward premiums predict spot exchange rate returns for 16 currencies. We apply a recently developed time series predictability test that allows us to model data features including heteroskedasticity in forward premium. We discover return predictability for 75% (12/16) of currencies in our sample. Trading strategies show that investors can make more profits from our proposed forward premium model compared to a random walk model and foreign exchange carry trade model.
Notes In Press
Language eng
DOI 10.1016/j.ememar.2019.100668
Field of Research 1402 Applied Economics
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Free to Read? Yes
Persistent URL http://hdl.handle.net/10536/DRO/DU:30134449

Document type: Journal Article
Collections: Faculty of Business and Law
Deakin Business School
Open Access Collection
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Created: Tue, 04 Feb 2020, 14:08:34 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.