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Full-Text Articles in Business
Information Risk In The International Currency Markets: Evidence From The Violation Of Uirp, Bill B. Francis, Kimberly Gleason, Delroy M. Hunter, Charles A. Malgwi
Information Risk In The International Currency Markets: Evidence From The Violation Of Uirp, Bill B. Francis, Kimberly Gleason, Delroy M. Hunter, Charles A. Malgwi
CRIF Seminar series
Drawing on the theoretical and empirical evidence that private information risk is priced in the expected returns of equities, we hypothesize that information risk premium is an important component of the risk premium that leads to the violation of uncovered interest rate parity (UIRP). Using an asset pricing model in which the risk factors are a world currency factor, a world equity factor, and a world private information factor, we find that UIRP is violated for 28 single currencies plus the euro and that violation is due to the existence of a significant time-varying risk premium. The component of the …
Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting, Martin D. Evans, Richard K. Lyons
Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting, Martin D. Evans, Richard K. Lyons
CRIF Seminar series
This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine forecasting over horizons from one day to one month (the one-month horizon being where micro and macro analysis begin to overlap). Over our 3-year forecasting sample, we find that the micro-based model consistently out-performs both the random walk and the macro model. Micro-based forecasts account for almost 16 per cent of the sample variance in monthly spot rate changes. These results provide a level …