实证汇率模型的经济评价

Pasquale Della Corte, Lucio Sarno, I. Tsiakas
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引用次数: 266

摘要

本文在考虑波动时机的框架下,对经济基本面的短期预测能力和月度汇率回报的远期溢价进行了全面评估。我们采用贝叶斯方法对一组经验汇率模型进行估计和排序,并基于贝叶斯模型平均构建组合预测。更重要的是,我们评估了经验模型的样本内和样本外预测能力的经济价值,并发现了两个关键结果:(i)风险厌恶型投资者将为从基于随机游走模型的动态投资组合策略转换为具有随机波动率创新的远期溢价的动态投资组合策略支付较高的绩效费用;(ii)基于综合预测的策略比随机漫步基准产生更大的经济收益。这两个结果对于合理的高交易成本是稳健的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
An Economic Evaluation of Empirical Exchange Rate Models
This paper provides a comprehensive evaluation of the short-horizon predictive ability of economic fundamentals and forward premia on monthly exchange rate returns in a framework that allows for volatility timing. We implement Bayesian methods for estimation and ranking of a set of empirical exchange rate models, and construct combined forecasts based on Bayesian Model Averaging. More importantly, we assess the economic value of the in-sample and out-of-sample forecasting power of the empirical models, and find two key results: (i) a risk averse investor will pay a high performance fee to switch from a dynamic portfolio strategy based on the random walk model to one which conditions on the forward premium with stochastic volatility innovations; and (ii) strategies based on combined forecasts yield large economic gains over the random walk benchmark. These two results are robust to reasonably high transaction costs.
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