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Model Uncertainty and Foreign Exchange Predictability: A Robust Explanation of the Forward Premium Puzzle
Başlık:
Model Uncertainty and Foreign Exchange Predictability: A Robust Explanation of the Forward Premium Puzzle
Yazar:
Hughes, Ryan, author.
ISBN:
9780438088160
Yazar Ek Girişi:
Fiziksel Tanımlama:
1 electronic resource (74 pages)
Genel Not:
Source: Dissertation Abstracts International, Volume: 79-11(E), Section: A.
Advisors: Lars Hansen Committee members: Lawrence Schmidt; Harald Uhlig.
Özet:
I show that concerns for robustness against model uncertainty generate predictable, time-varying violations of uncovered interest parity in a multi-country endowment economy where representative agents average over competing sub-models of growth processes to determine interest rates. I test the theory using consumption and foreign exchange data for several countries, and find that the model's measure of expected currency returns generally explains and predicts actual foreign exchange returns relative to the U.S. Dollar better than the time series of currency forward premiums or interest rate differences.
Notlar:
School code: 0330
Konu Başlığı:
Tüzel Kişi Ek Girişi:
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Yer Numarası | Demirbaş Numarası | Shelf Location | Lokasyon / Statüsü / İade Tarihi |
---|---|---|---|
XX(691683.1) | 691683-1001 | Proquest E-Tez Koleksiyonu | Arıyor... |
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