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The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?

Citations

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Cited by:

  1. Ibrahim D. Raheem & Xuan Vinh Vo, 2022. "A new approach to exchange rate forecast: The role of global financial cycle and time‐varying parameters," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 2836-2848, July.
  2. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
  3. Y. Kalantzis. & P. Towbin. & S. Zignago., 2014. "International adjustment and rebalancing of global demand:where do we stand?," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 33, pages 5-23, spring.
  4. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
  5. Raheem, Ibrahim, 2020. "Global financial cycles and exchange rate forecast: A factor analysis," MPRA Paper 105358, University Library of Munich, Germany.
  6. Breen, John David & Hu, Liang, 2021. "The predictive content of oil price and volatility: New evidence on exchange rate forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  7. Buncic, Daniel & Piras, Gion Donat, 2016. "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 313-359.
  8. Nicolas Coeurdacier & Hélène Rey, 2013. "Home Bias in Open Economy Financial Macroeconomics," Journal of Economic Literature, American Economic Association, vol. 51(1), pages 63-115, March.
  9. Pasquale Della Corte & Steven J. Riddiough & Lucio Sarno, 2016. "Currency Premia and Global Imbalances," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2161-2193.
  10. Juliana D. Araujo & Povilas Lastauskas & Chris Papageorgiou, 2017. "Evolution of Bilateral Capital Flows to Developing Countries at Intensive and Extensive Margins," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(7), pages 1517-1554, October.
  11. Nelson Camanho & Harald Hau & Hélène Rey, 2022. "Global Portfolio Rebalancing and Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5228-5274.
  12. Bathia, Deven & Demirer, Riza & Gupta, Rangan & Kotzé, Kevin, 2021. "Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data," Journal of Multinational Financial Management, Elsevier, vol. 61(C).
  13. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 283-300.
  14. Malin Gardberg, 2022. "Exchange Rate Sensitivity and the Net Foreign Asset Composition," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 569-598, March.
  15. Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
  16. Christian Grisse & Thomas Nitschka, 2016. "Exchange Rate Returns and External Adjustment: Evidence from Switzerland," Open Economies Review, Springer, vol. 27(2), pages 317-339, April.
  17. Ribeiro, Pinho J., 2017. "Selecting exchange rate fundamentals by bootstrap," International Journal of Forecasting, Elsevier, vol. 33(4), pages 894-914.
  18. Ponomareva, Natalia & Sheen, Jeffrey & Wang, Ben Zhe, 2019. "Forecasting exchange rates using principal components," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  19. Beckmann, Joscha & Czudaj, Robert, 2017. "Capital flows and GDP in emerging economies and the role of global spillovers," Journal of Economic Behavior & Organization, Elsevier, vol. 142(C), pages 140-163.
  20. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
  21. de Souza Vasconcelos, Camila & Hadad Júnior, Eli, 2023. "Forecasting exchange rate: A bibliometric and content analysis," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 607-628.
  22. Amat, Christophe & Michalski, Tomasz & Stoltz, Gilles, 2018. "Fundamentals and exchange rate forecastability with simple machine learning methods," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 1-24.
  23. Aleksejs Krecetovs & Pasquale Della Corte, 2016. "Macro uncertainty and currency premia," 2016 Meeting Papers 624, Society for Economic Dynamics.
  24. Hsu, Po-Hsuan & Taylor, Mark P. & Wang, Zigan & Xu, Qi, 2022. "Currency volatility and global technological innovation," Journal of International Economics, Elsevier, vol. 137(C).
  25. Stijn Claessens & M. Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: A survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  26. repec:spo:wpmain:info:hdl:2441/c8dmi8nm4pdjkuc9g81p7j6b6 is not listed on IDEAS
  27. Joscha Beckmann & Robert L. Czudaj, 2020. "Net Foreign Asset Positions, Capital Flows and GDP Spillovers," Open Economies Review, Springer, vol. 31(2), pages 295-308, April.
  28. Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2015. "Exchange rate forecasts and expected fundamentals," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 235-256.
  29. repec:hal:spmain:info:hdl:2441/1shj1p7td8e0r5c9fcsnk8a91 is not listed on IDEAS
  30. Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
  31. Inoue, Atsushi & Jin, Lu & Rossi, Barbara, 2017. "Rolling window selection for out-of-sample forecasting with time-varying parameters," Journal of Econometrics, Elsevier, vol. 196(1), pages 55-67.
  32. Andersen, Torben G. & Todorov, Viktor & Ubukata, Masato, 2021. "Tail risk and return predictability for the Japanese equity market," Journal of Econometrics, Elsevier, vol. 222(1), pages 344-363.
  33. Vesna Bucevska, 2015. "Currency Crises in EU Candidate Countries: An Early Warning System Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(4), pages 493-510, September.
  34. Gardberg, Malin, 2018. "Linking Net Foreign Portfolio Debt and Equity to Exchange Rate Movements," Working Paper Series 1246, Research Institute of Industrial Economics.
  35. Vasios, Michalis & Payne, Richard & Nolte, Ingmar, 2015. "Profiting from Mimicking Strategies in Non-Anonymous Markets," MPRA Paper 61710, University Library of Munich, Germany.
  36. Feng, Wenjun & Zhang, Zhengjun, 2023. "Currency exchange rate predictability: The new power of Bitcoin prices," Journal of International Money and Finance, Elsevier, vol. 132(C).
  37. repec:spo:wpmain:info:hdl:2441/1shj1p7td8e0r5c9fcsnk8a91 is not listed on IDEAS
  38. repec:hal:spmain:info:hdl:2441/c8dmi8nm4pdjkuc9g81p7j6b6 is not listed on IDEAS
  39. Garratt, Anthony & Mise, Emi, 2014. "Forecasting exchange rates using panel model and model averaging," Economic Modelling, Elsevier, vol. 37(C), pages 32-40.
  40. Bussière, M., 2013. "In Defense of Early Warning Signals," Working papers 420, Banque de France.
  41. Davood Pirayesh Neghab & Mucahit Cevik & M. I. M. Wahab, 2023. "Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning," Papers 2303.16149, arXiv.org.
  42. Nicolas Coeurdacier & Hélène Rey, 2013. "Home Bias in Open Economy Financial Macroeconomics," SciencePo Working papers hal-03473901, HAL.
  43. Maio, Paulo & Zeng, Ming, 2023. "On the driving forces of real exchange rates: Is the Japanese Yen different?," Journal of Empirical Finance, Elsevier, vol. 74(C).
  44. Beatrice D. Simo-Kengne & Kofi Agyarko Ababio & Jules Mba & Ur Koumba & Makgale Molepo, 2018. "Risk, Uncertainty and Exchange Rate Behavior in South Africa," Journal of African Business, Taylor & Francis Journals, vol. 19(2), pages 262-278, April.
  45. Victor Yotzov, 2014. "Prognostic Power of Early Warning Signals for Financial Crises – Theoretical Approaches and Empirical Results," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 3-38.
  46. repec:bfr:bullbf:2013:195:03 is not listed on IDEAS
  47. Pasquale Della Corte & Steven J. Riddiough & Lucio Sarno, 2016. "Currency Premia and Global Imbalances," Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2161-2193.
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