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Forecasting Emerging Market FX Spot Rates: An AR(1) approach 预测新兴市场外汇即期汇率:AR(1)方法
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2019-11-06 DOI: 10.2139/ssrn.3481535
D. Maroney
{"title":"Forecasting Emerging Market FX Spot Rates: An AR(1) approach","authors":"D. Maroney","doi":"10.2139/ssrn.3481535","DOIUrl":"https://doi.org/10.2139/ssrn.3481535","url":null,"abstract":"This paper outlines a method to forecast FX spot rates. The data set consists of the Bloomberg FX spot rates for emerging markets as defined by Bloomberg. The in-sample data set consisted of weekly FX spot rates for ten Emerging markets, from August 2013 to March 2019. The out sample spanned March to November 2019. PACF tests revealed that the most appropriate model would be an AR(1). After applying the AR(1) model to the data a combination of AIC and Log-Likelihood criteria as well as a sigma squared measure were applied to determine the spot rates with the best fit. 3 spot rates remained that had the best fit relative to the other spot rates given that the sample sizes were identical. Applying the relevant AR(1) models to the out-sample data highlighted that using a long-only approach, to avoid short side risk, produced negative returns in all three FX spot rates. The use of an out-sample to test the applicability of the AR(1) forecast supplements the within model criteria: AIC, Log-likelihood and sigma squared. The out-sample results highlight that in practice an AR(1) model may not necessarily produce positive returns in Emerging FX markets.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134581740","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Trading Volume, Illiquidity and Commonalities in FX Markets 外汇市场的交易量、非流动性和共性
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2019-10-14 DOI: 10.2139/ssrn.3289026
A. Ranaldo, Paolo Santucci de Magistris
{"title":"Trading Volume, Illiquidity and Commonalities in FX Markets","authors":"A. Ranaldo, Paolo Santucci de Magistris","doi":"10.2139/ssrn.3289026","DOIUrl":"https://doi.org/10.2139/ssrn.3289026","url":null,"abstract":"In a regime of floating FX rates and open economies, it is important to understand the way through which FX rates, volatility, and trading volume interrelate. To uncover this, we provide a simple theoretical framework to jointly explore these factors in a multi-currency \u0000environment. Through the use of a unique intraday data representative for the global FX market, the empirical analysis validates our theoretical predictions: (i) more disagreement \u0000increases FX trading volume, volatility, and illiquidity, (ii) stronger commonalities pertain to more efficient (arbitrage-free) currencies, and (iii) the Amihud (2002) measure, for which we provide a theoretical underpinning, is effective in measuring FX illiquidity. Not only do these findings support an integrated analysis of FX rate evolution and risk, but our work also offers a straightforward method to measure FX illiquidity and commonality. \u0000For investors, these insights should increase the efficiency of trading and risk analysis. For policy makers, our work highlights the developments of FX global volume, volatility, and illiquidity across time and currencies, which can be important for the implementation of \u0000monetary policy and financial stability.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115043221","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
Complements Rather Than Substitutes: An Empirical Examination of Cryptocurrency and Online Peer-to-Peer Lending Markets 互补而非替代:对加密货币和在线点对点贷款市场的实证研究
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2019-08-26 DOI: 10.2139/ssrn.3254091
Sunghun Chung, Keongtae Kim, Chul Ho Lee
{"title":"Complements Rather Than Substitutes: An Empirical Examination of Cryptocurrency and Online Peer-to-Peer Lending Markets","authors":"Sunghun Chung, Keongtae Kim, Chul Ho Lee","doi":"10.2139/ssrn.3254091","DOIUrl":"https://doi.org/10.2139/ssrn.3254091","url":null,"abstract":"The authors develop a conceptual framework and derive testable predictions regarding effects of cryptocurrency markets on borrowers in peer-to-peer (P2P) lending markets from January 2017 to February 2019. Results indicate that the growth in cryptocurrency markets is associated with increased loan requests in the P2P market, especially for borrowers with good credit ratings, more knowledge about the cryptocurrency market, and likely to borrow for investing purposes. The findings imply that the P2P lending market is potentially a funding source for investment in the cryptocurrency market. The growth in cryptocurrency markets is further associated with low default and interest rates. The study has unique and important implications for theory and practice regarding the appropriate management of crowdfunding platforms to sustain a new wave of financial technology.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130916012","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Equilibrium Real Exchange Rate Estimates Across Time and Space 均衡实际汇率估算跨越时间和空间
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2019-04-18 DOI: 10.24149/gwp362
Christoph Fisher
{"title":"Equilibrium Real Exchange Rate Estimates Across Time and Space","authors":"Christoph Fisher","doi":"10.24149/gwp362","DOIUrl":"https://doi.org/10.24149/gwp362","url":null,"abstract":"Equilibrium real exchange rate and corresponding misalignment estimates differ tremendously depending on the panel estimation method used to derive them. Essentially, these methods differ in their treatment of the time-series (time) and the cross-section (space) variation in the panel. The study shows that conventional panel estimation methods (pooled OLS, fixed, random, and between effects) can be interpreted as restricted versions of a correlated random effects (CRE) model. It formally derives the distortion that arises if these restrictions are violated and uses two empirical applications from the literature to show that the distortion is generally very large. This suggests the use of the CRE model for the panel estimation of equilibrium real exchange rates and misalignments.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121553600","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Исследование и прогнозирование состояния финансовой системы Республики Казахстан методом регрессионного анализа. (Research and Forecasting of the State of the Financial System of the Republic of Kazakhstan Using Regression Analysis)
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2019-04-13 DOI: 10.2139/ssrn.3371581
Alina Kisselyova
{"title":"Исследование и прогнозирование состояния финансовой системы Республики Казахстан методом регрессионного анализа. (Research and Forecasting of the State of the Financial System of the Republic of Kazakhstan Using Regression Analysis)","authors":"Alina Kisselyova","doi":"10.2139/ssrn.3371581","DOIUrl":"https://doi.org/10.2139/ssrn.3371581","url":null,"abstract":"<b>Russian Abstract:</b> Аннотация. Данная статья посвящена анализу финансовой системы Республики Казахстан на основе группы параметров, которые отражают такие аспекты, как финансовая стабильность, состояние государственных финансов, уровень развития банковского сектора и финансового рынка. <br><br><b>English Abstract:</b> This article is devoted to the analysis of the financial system of the Republic of Kazakhstan, which is based on a group of parameters: financial stability, the state of public finances, the level of development of the banking sector and the financial market.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128463178","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Finding the Nearest Covariance Matrix: The Foreign Exchange Market Case 寻找最接近的协方差矩阵:外汇市场案例
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2018-12-25 DOI: 10.21314/jcf.2020.396
A. Minabutdinov, I. Manaev, Maxim Bouev
{"title":"Finding the Nearest Covariance Matrix: The Foreign Exchange Market Case","authors":"A. Minabutdinov, I. Manaev, Maxim Bouev","doi":"10.21314/jcf.2020.396","DOIUrl":"https://doi.org/10.21314/jcf.2020.396","url":null,"abstract":"We consider the problem of finding a valid covariance matrix in the foreign exchange market given an initial nonpositively semidefinite (non-PSD) estimate of such a matrix. The common no-arbitrage assumption imposes additional linear constraints on such matrixes, inevitably making them singular. As a result, even the most advanced numerical techniques will predictably balk at a seemingly standard optimization task. The reason is that the problem is ill posed, while its PSD solution is not strictly feasible. In order to deal with this issue we describe a low-dimensional face of the PSD cone that contains the feasible set. After projecting the initial problem onto this face, we come out with a reduced problem, which is both well posed and of a smaller scale. We show that, after solving the reduced problem, the solution to the initial problem can be recovered uniquely in one step. We run numerous numerical experiments to compare the performance of different algorithms in solving the reduced problem and to demonstrate the advantages of dealing with the reduced problem as opposed to the original one. The smaller scale of the reduced problem implies that its solution can effectively be found by the application of virtually any numerical method.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129996322","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Exchange Rates Co-Movement and International Trade 汇率联动与国际贸易
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2018-11-01 DOI: 10.2139/ssrn.3705644
A. Babii
{"title":"Exchange Rates Co-Movement and International Trade","authors":"A. Babii","doi":"10.2139/ssrn.3705644","DOIUrl":"https://doi.org/10.2139/ssrn.3705644","url":null,"abstract":"Nominal exchange rates strongly co-move. However, little is known about the economic source of common variation. This paper examines how international trade links nominal exchange rates. First, I document that two countries that trade more intensively with each other have more correlated exchange rates against the U.S dollar. Second, I develop a general equilibrium multi-country model, where a shock to a single country propagates to the exchange rates of its trading partners and serves as a source of common variation. In the baseline three-country model, I show that the sign and the strength of correlation between exchange rates depend on the elasticities of trade balances of countries with respect to both exchange rates. As a result, the model’s prediction about the relationship between bilateral trade intensity and exchange rates correlation depends on the currency in which international prices are set. Lastly, an augmented model is calibrated to twelve countries to quantitatively assess the importance of trade linkages. I find that trade linkages alone, with uncorrelated shocks across countries, account for 50% of the empirical trade-exchange-rates-correlation slope coefficient.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129650088","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does Corporate Hedging Enhance Shareholder Value? A Meta-Analysis 企业套期保值是否能提高股东价值?一个荟萃分析
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2018-09-21 DOI: 10.2139/ssrn.3293602
W. Bessler, T. Conlon, Xing Huan
{"title":"Does Corporate Hedging Enhance Shareholder Value? A Meta-Analysis","authors":"W. Bessler, T. Conlon, Xing Huan","doi":"10.2139/ssrn.3293602","DOIUrl":"https://doi.org/10.2139/ssrn.3293602","url":null,"abstract":"The theories underpinning corporate use of derivatives are well developed. Furthermore, there exist compelling economic reasons why hedging should lead to enhanced shareholder value, but empirical evidence in support of a substantial value increase from hedging is, at best, mixed. In this paper, we synthesize the empirical evidence for value enhancement in firms’ hedging with derivatives using a statistical meta-analysis combining data from 47 different studies. Our findings indicate that firms’ hedging with derivatives have larger Tobin’s Q, a commonly used measure of value creation. A variety of moderating variables are assessed, providing evidence of heterogeneity in the value relevance of corporate hedging. In particular, we find that relatively higher firm value is primarily associated with hedging of foreign exchange risk.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131391348","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 17
The Predictive Relationship Between Exchange Rate Expectations and Base Metal Prices 汇率预期与贱金属价格的预测关系
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2018-08-09 DOI: 10.2139/ssrn.3263709
Pablo M. Pincheira, Nicolás Hardy
{"title":"The Predictive Relationship Between Exchange Rate Expectations and Base Metal Prices","authors":"Pablo M. Pincheira, Nicolás Hardy","doi":"10.2139/ssrn.3263709","DOIUrl":"https://doi.org/10.2139/ssrn.3263709","url":null,"abstract":"In this paper we show that survey-based-expectations about the future evolution of the Chilean exchange rate have the ability to predict the returns of the six primary non-ferrous metals: aluminum, copper, lead, nickel, tin and zinc. Predictability is also found for returns of the London Metal Exchange Index. Previous studies have shown that the Chilean exchange rate has the ability to predict copper returns, a world commodity index and base metal prices. Nevertheless, our results indicate that expectations about the Chilean peso have stronger predictive ability relative to the Chilean currency. This is shown both in-sample and out-of-sample. By focusing on expectations of a commodity currency, and not on the currency itself, our paper provides indirect but new and strong evidence of the ability that commodity currencies have to forecast commodity prices. Our results are also consistent with the present-value-model for exchange rate determination.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133094571","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
Agreeing on Disagreement: Heterogeneity or Uncertainty? 同意分歧:异质性还是不确定性?
Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2018-08-03 DOI: 10.2139/ssrn.2826625
Saskia ter Ellen, W. F. Verschoor, Remco C. J. Zwinkels
{"title":"Agreeing on Disagreement: Heterogeneity or Uncertainty?","authors":"Saskia ter Ellen, W. F. Verschoor, Remco C. J. Zwinkels","doi":"10.2139/ssrn.2826625","DOIUrl":"https://doi.org/10.2139/ssrn.2826625","url":null,"abstract":"Disagreement is used as a measure of both investor heterogeneity and uncertainty. We study whether disagreement captures heterogeneity or uncertainty for the foreign exchange market. We do so by relating disagreement to alternative measures of uncertainty, as well as by taking advantage of the different asset pricing implications of the two concepts. We find that whereas disagreement measures uncertainty conditionally, unconditionally this is only true during the peak of the global financial crisis.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123258210","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
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