Can currency-based risk factors help forecast exchange rates?
This paper examines the time series predictability of bilateral exchange rates from linear factor models that utilize the unconditional and conditional expectations of three currency-based risk factors. Exploiting a comprehensive set of statistical criteria, we find that all versions of the linear f...
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| Published in | International journal of forecasting Vol. 32; no. 1; pp. 75 - 97 |
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| Main Authors | , , |
| Format | Journal Article |
| Language | English |
| Published |
Amsterdam
Elsevier B.V
01.01.2016
Elsevier Sequoia S.A |
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| Abstract | This paper examines the time series predictability of bilateral exchange rates from linear factor models that utilize the unconditional and conditional expectations of three currency-based risk factors. Exploiting a comprehensive set of statistical criteria, we find that all versions of the linear factor models largely fail to outperform the benchmark random walk with drift model for the out-of-sample forecasting of monthly exchange rate returns. This holds true for both individual currencies and currency portfolios formed on forward discounts. We also show that the information embedded in the currency-based risk factors does not generate systematic economic value for investors. |
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| AbstractList | This paper examines the time series predictability of bilateral exchange rates from linear factor models that utilize the unconditional and conditional expectations of three currency-based risk factors. Exploiting a comprehensive set of statistical criteria, we find that all versions of the linear factor models largely fail to outperform the benchmark random walk with drift model for the out-of-sample forecasting of monthly exchange rate returns. This holds true for both individual currencies and currency portfolios formed on forward discounts. We also show that the information embedded in the currency-based risk factors does not generate systematic economic value for investors. |
| Author | Liu, Xiaoquan Valente, Giorgio Ahmed, Shamim |
| Author_xml | – sequence: 1 givenname: Shamim surname: Ahmed fullname: Ahmed, Shamim email: shamim.ahmed@nottingham.ac.uk organization: Nottingham University Business School, University of Nottingham, NG8 1BB, United Kingdom – sequence: 2 givenname: Xiaoquan surname: Liu fullname: Liu, Xiaoquan email: xiaoquan.liu@nottingham.edu.cn organization: Nottingham University Business School China, University of Nottingham Ningbo, Ningbo 315100, China – sequence: 3 givenname: Giorgio surname: Valente fullname: Valente, Giorgio email: g.valente@cityu.edu.hk organization: College of Business, City University of Hong Kong, Kowloon, Hong Kong |
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| SubjectTerms | Currency Econometric models Economic forecasting Economic value Exchange rates Foreign exchange rates Out-of-sample predictability Random walk theory Rational expectations Risk factors Studies Time series |
| Title | Can currency-based risk factors help forecast exchange rates? |
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