File Download

There are no files associated with this item.

  • Find it @ UNIST can give you direct access to the published full text of this article. (UNISTARs only)

Views & Downloads

Detailed Information

Cited time in webofscience Cited time in scopus
Metadata Downloads

Full metadata record

DC Field Value Language
dc.citation.title ECONOMIC MODELLING -
dc.citation.volume 116 -
dc.contributor.author Bak, Yuhyeon -
dc.contributor.author Park, Cheolbeom -
dc.date.accessioned 2023-12-21T13:18:38Z -
dc.date.available 2023-12-21T13:18:38Z -
dc.date.created 2022-12-15 -
dc.date.issued 2022-11 -
dc.description.abstract Uncovered interest rate parity (UIP), a basic assumption in many theoretical models, is known to perform poorly in forecasting exchange rate movements, especially in the short run. One possible reason for this failure is the existence of unobservable risk premium. We estimate the unobservable risk premium with a Bayesian approach having the risk premium as a latent variable and the implied volatility of at-the-money currency options as an imperfect predictor. We find in most cases that expected exchange rate changes, constructed from forward-spot differentials and estimated risk premiums, track actual exchange rate changes more closely than do the fitted values of the predictive regression (i.e. the Fama regression). An out-of-sample analysis reveals that adding the estimated risk premium greatly improves the short-run predictability of exchange rates in general. These findings strongly suggest that the risk premium is important in understanding the dynamics of exchange rate and the UIP puzzle. -
dc.identifier.bibliographicCitation ECONOMIC MODELLING, v.116 -
dc.identifier.doi 10.1016/j.econmod.2022.106024 -
dc.identifier.issn 0264-9993 -
dc.identifier.scopusid 2-s2.0-85137390749 -
dc.identifier.uri https://scholarworks.unist.ac.kr/handle/201301/60385 -
dc.identifier.url https://www.sciencedirect.com/science/article/pii/S0264999322002632 -
dc.identifier.wosid 000862284000013 -
dc.language 영어 -
dc.publisher Elsevier BV -
dc.title Exchange rate predictability, risk premiums, and predictive system -
dc.type Article -
dc.description.isOpenAccess TRUE -
dc.relation.journalWebOfScienceCategory Economics -
dc.relation.journalResearchArea Business & Economics -
dc.type.docType Article -
dc.description.journalRegisteredClass ssci -
dc.description.journalRegisteredClass scopus -
dc.subject.keywordAuthor Exchange rate -
dc.subject.keywordAuthor Bayesian approach -
dc.subject.keywordAuthor Predictive system -
dc.subject.keywordAuthor Risk premium -
dc.subject.keywordPlus EXPECTATIONS -
dc.subject.keywordPlus EXPLANATION -
dc.subject.keywordPlus PUZZLES -
dc.subject.keywordPlus EXPLAIN -
dc.subject.keywordPlus TESTS -
dc.subject.keywordPlus HABIT -

qrcode

Items in Repository are protected by copyright, with all rights reserved, unless otherwise indicated.