Loading...
Please wait, while we are loading the content...
Similar Documents
The Quanto Theory of Exchange Rates
| Content Provider | Scilit |
|---|---|
| Author | Kremens, Lukas Martin, Ian |
| Copyright Year | 2017 |
| Description | Journal: SSRN Electronic Journal We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via panel regressions that the quanto forecast variable is a statistically and economically significant predictor of currency appreciation. We also test the quanto variable's ability to forecast differential currency appreciation out of sample, and find that it outperforms predictions based on uncovered interest parity, on purchasing power parity, and on a random walk. |
| Related Links | http://eprints.lse.ac.uk/89839/1/Martin_Quanto-theory_Accepted.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2952250 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2952250 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2017-04-07 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |