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Exchange rates and fundamentals: evidence on the economic value of predictability
16 references·16 citing·43 second hopsampled
Exchange rates and fundamentals: evidence on the economic value of predictability (2004)Exchange rates and fundamentals: evidence…The Economics of Exchange Rates (2003)The Economics of Exchange Rat…The Microstructure Approach to Exchange Rates (2001)The Microstructure Approach t…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? (2000)The Six Major Puzzles in Inte…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Exchange Rate Dynamics Redux (1995)Exchange Rate Dynamics ReduxComparing Predictive Accuracy (1994)Comparing Predictive AccuracyDividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective (2014)Which Fundamentals Drive Exch…The unbeatable random walk in exchange rate forecasting: Reality or myth? (2014)The unbeatable random walk in…On policymakers’ loss functions and the evaluation of early warning systems (2013)On policymakers’ loss functio…Exchange Rates and Interest Parity (2013)Exchange Rates and Interest P…The Taylor Rule and Forecast Intervals for Exchange Rates (2012)The Taylor Rule and Forecast …The predictive information content of external imbalances for exchange rate returns: How much is it worth? (2012)The predictive information co…The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach (2010)The dollar-euro exchange rate…The economic value of fundamental and technical information in emerging currency markets (2009)The economic value of fundame…The Monetary Model Strikes Back (2008)The Monetary Model Strikes Ba…Overnight information and stochastic volatility: A study of European and US stock exchanges (2007)Overnight information and sto…Investor sentiment in the US-dollar: Longer-term, non-linear orientation on PPP (2007)Investor sentiment in the US-…Do Euro exchange rates follow a martingale? Some out-of-sample evidence (2007)Do Euro exchange rates follow…Optimal design of early warning systems for sovereign debt crises (2006)Optimal design of early warni…Early warning systems for sovereign debt crises: The role of heterogeneity (2006)Early warning systems for sov…Towards a solution to the puzzles in exchange rate economics: where do we stand? (2005)Towards a solution to the puz…Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive? (2004)Empirical Exchange Rate Model…Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Risk Aversion in the Small and in the Large (1976)A Theory of the Term Structure of Interest Rates (1985)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Presidential Address: Discount Rates (2011)Expected stock returns and volatility (1987)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Expected Stock Returns and Variance Risk Premia (2009)The Limits of Financial Globalization (2005)An Equilibrium Model of “Global Imbalances” and Low Interest Rates (2008)Cultural Biases in Economic Exchange? * (2009)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)It's Baaack: Japan's Slump and the Return of the Liquidity Trap (1998)Monetary Policy and Exchange Rate Volatility in a Small Open Economy (2005)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1995Exchange Rate Dynamics Redux2,110 cited
  • 2000The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?2,067 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 2003The Economics of Exchange Rates1,327 cited
  • 1982Interest rates and currency prices in a two-country world1,256 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited

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2001
The Microstructure Approach to Exchange Rates
1,043 cited

Cited by

  • 2005Towards a solution to the puzzles in exchange rate economics: where do we stand?121 cited
  • 2007Do Euro exchange rates follow a martingale? Some out-of-sample evidence109 cited
  • 2013On policymakers’ loss functions and the evaluation of early warning systems102 cited
  • 2012The predictive information content of external imbalances for exchange rate returns: How much is it worth?95 cited
  • 2006Early warning systems for sovereign debt crises: The role of heterogeneity83 cited
  • 2008The Monetary Model Strikes Back81 cited
  • 2009The economic value of fundamental and technical information in emerging currency markets78 cited
  • 2007Overnight information and stochastic volatility: A study of European and US stock exchanges75 cited
  • 2014Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective72 cited
  • 2006Optimal design of early warning systems for sovereign debt crises72 cited
  • 2004Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?70 cited
  • 2014The unbeatable random walk in exchange rate forecasting: Reality or myth?69 cited
  • 2010The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach67 cited
  • 2012The Taylor Rule and Forecast Intervals for Exchange Rates55 cited
  • 2013Exchange Rates and Interest Parity53 cited
  • 2007Investor sentiment in the US-dollar: Longer-term, non-linear orientation on PPP50 cited