Unconventional preferences: do they explain foreign exchange risk premia?

Article Abstract:

The effect of non-standard preferences in an incomplete-markets, equilibrium model of the forward foreign exchange market is investigated. Findings show that habit persistence has practically no effect on the mean or standard deviation of either real or nominal risk premia. The mean and standard deviations of risk premia are sensitive to the intertemporal elasticity of substitution with ordinal-certainty-equivalent preferences. However, even extreme values of this variable do not permit replication of real-life data.

Risk (Economics)

---

Forecasting exchange rates using TSMARS

Article Abstract:

A methodology called Time Series Multivariate Adaptive Regression Splines (TSMARS) was utilized to predict and estimate non-linear structure in weekly exchange rates of four major currencies during 1980s. Application of the methodology, which was undertaken in three steps, initially involves checking of residuals for outliers. The out-of-sample forecasts generated by the methodology revealed its superiority over a pure random walk methodology.

Exchange Rates, Models, Estimation theory, Forecasting

---

Government finance in a common currency area

Article Abstract:

The European economic integration in 1992 needs improved exchange rate coordination. A report on the European exchange rate system suggests the approval of a common currency. However, such a situation may create fiscal policies which lead to inferior results. Thus, fiscal policy must be integrated to avoid minimal inflation, excessive taxation and government spending.

Research, Finance, Monetary unions, International economic integration, Economic integration, State finance

Similar abstracts:

• Abstracts: On biases in the measurement of foreign exchange risk premiums
• Abstracts: On biases in the measurement of foreign exchange risk premiums. part 2 Profits and position control: a week of FX dealing
• Abstracts: Optimal central bank intervention in the foreign exchange market. Management turnover in subsidiaries of conglomerates versus stand-alone firms
• Abstracts: The role of oil prices and the real exchange rate in Russia's economy-a cointegration approach. Does money matter in the CIS? Effects of monetary policy on output and prices
• Abstracts: Can transaction cost economics explain voluntary Chambers of Commerce?

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.