The Impact of Sovereign Yield Curve Differentials on Value-at-Risk Forecasts for Foreign Exchange Rates
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Campbell, John Y. & Clarida, Richard H., 1987.
"The dollar and real interest rates,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 27(1), pages 103-139, January.
- John Y. Campbell & Richard H. Clarida, 1987. "The Dollar and Real Interest Rates," NBER Working Papers 2151, National Bureau of Economic Research, Inc.
- Campbell, John & Clarida, Richard, 1987. "The Dollar and Real Interest Rates," Scholarly Articles 3221495, Harvard University Department of Economics.
- Håvard Hungnes & Hilde C. Bjørnland, 2006.
"The importance of interest rates for forecasting the exchange rate,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(3), pages 209-221.
- Hilde C. Bjørnland & Håvard Hungnes, 2003. "The importance of interest rates for forecasting the exchange rate," Discussion Papers 340, Statistics Norway, Research Department.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Bauwens, Luc & Sucarrat, Genaro, 2010.
"General-to-specific modelling of exchange rate volatility: A forecast evaluation,"
International Journal of Forecasting, Elsevier, vol. 26(4), pages 885-907, October.
- Luc, BAUWENS & Genaro, SUCARRAT, 2006. "General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation," Discussion Papers (ECON - Département des Sciences Economiques) 2006013, Université catholique de Louvain, Département des Sciences Economiques.
- BAUWENS, Luc & SUCARRAT, Genaro, 2010. "General-to-specific modelling of exchange rate volatility: a forecast evaluation," LIDAM Reprints CORE 2234, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & SUCARRAT, Genaro, 2006. "General to specific modelling of exchange rate volatility: a forecast evaluation," LIDAM Discussion Papers CORE 2006021, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Sucarrat, Genaro, 2008. "General to specific modelling of exchange rate volatility : a forecast evaluation," UC3M Working papers. Economics we081810, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Diebold, Francis X. & Li, Canlin, 2006.
"Forecasting the term structure of government bond yields,"
Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
- Francis X. Diebold & Canlin Li, 2002. "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers 02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc.
- Diebold, Francis X. & Li, Canlin, 2003. "Forecasting the term structure of government bond yields," CFS Working Paper Series 2004/09, Center for Financial Studies (CFS).
- Dominguez, Kathryn M., 1998. "Central bank intervention and exchange rate volatility1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 161-190, February.
- Jeffrey A. Frankel & Andrew K. Rose, 1994.
"A Survey of Empirical Research on Nominal Exchange Rates,"
NBER Working Papers
4865, National Bureau of Economic Research, Inc.
- Frankel, Jeffrey A. & Rose, Andrew K., 1995. "A Survey of Empirical Research on Nominal Exchange Rates," Center for International and Development Economics Research (CIDER) Working Papers 233409, University of California-Berkeley, Department of Economics.
- Jeffrey A. Frankel and Andrew K. Rose., 1995. "A Survey of Empirical Research on Nominal Exchange Rates," Center for International and Development Economics Research (CIDER) Working Papers C95-051, University of California at Berkeley.
- West, Kenneth D. & Edison, Hali J. & Cho, Dongchul, 1993.
"A utility-based comparison of some models of exchange rate volatility,"
Journal of International Economics, Elsevier, vol. 35(1-2), pages 23-45, August.
- Kenneth D. West & Hali J. Edison & Dongchul Cho, 1992. "A Utility Based Comparison of Some Models of Exchange Rate Volatility," NBER Technical Working Papers 0128, National Bureau of Economic Research, Inc.
- Dongchul Cho & Hali J. Edison & Kenneth D. West, 1993. "A utility based comparison of some models of exchange rate volatility," International Finance Discussion Papers 441, Board of Governors of the Federal Reserve System (U.S.).
- Frankel, Jeffrey A. & Rose, Andrew K., 1995. "Empirical research on nominal exchange rates," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 33, pages 1689-1729, Elsevier.
- Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel, 2013.
"GARCH models without positivity constraints: Exponential or log GARCH?,"
Journal of Econometrics, Elsevier, vol. 177(1), pages 34-46.
- Francq, Christian & Wintenberger, Olivier & Zakoian, Jean-Michel, 2012. "Garch models without positivity constraints: exponential or log garch?," MPRA Paper 41373, University Library of Munich, Germany.
- Grisse, Christian & Nitschka, Thomas, 2015.
"On financial risk and the safe haven characteristics of Swiss franc exchange rates,"
Journal of Empirical Finance, Elsevier, vol. 32(C), pages 153-164.
- Dr. Christian Grisse & Dr. Thomas Nitschka, 2013. "On financial risk and the safe haven characteristics of Swiss franc exchange rates," Working Papers 2013-04, Swiss National Bank.
- Vilasuso, Jon, 2002. "Forecasting exchange rate volatility," Economics Letters, Elsevier, vol. 76(1), pages 59-64, June.
- Cletus C. Coughlin & Kees G. Koedijk, 1990. "What do we know about the long-run real exchange rate?," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 36-48.
- Benavides, Guillermo & Capistrán, Carlos, 2012.
"Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts,"
Journal of Empirical Finance, Elsevier, vol. 19(5), pages 627-639.
- Benavides Guillermo & Capistrán Carlos, 2009. "Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts," Working Papers 2009-01, Banco de México.
- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
"Fractionally integrated generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
- Tom Doan, "undated". "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
- Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2016.
"Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 582-594.
- Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2013. "Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown," MPRA Paper 49344, University Library of Munich, Germany.
- Keith Kuester & Stefan Mittnik & Marc S. Paolella, 2006. "Value-at-Risk Prediction: A Comparison of Alternative Strategies," Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 53-89.
- Heejoon Han, 2015. "Asymptotic Properties of GARCH-X Processes," Journal of Financial Econometrics, Oxford University Press, vol. 13(1), pages 188-221.
- Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-862, November.
- Neely, Christopher J., 1999.
"Target zones and conditional volatility: The role of realignments,"
Journal of Empirical Finance, Elsevier, vol. 6(2), pages 177-192, April.
- Christopher J. Neely, 1998. "Target zones and conditional volatility: the role of realignments," Working Papers 1994-008, Federal Reserve Bank of St. Louis.
- Morana, Claudio, 2009.
"On the macroeconomic causes of exchange rate volatility,"
International Journal of Forecasting, Elsevier, vol. 25(2), pages 328-350.
- Claudio Morana, 2007. "On the macroeconomic causes of exchange rates volatility," ICER Working Papers 8-2007, ICER - International Centre for Economic Research.
- Ziggel, Daniel & Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2014. "A new set of improved Value-at-Risk backtests," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 29-41.
- Hannan, E. J. & Dunsmuir, W. T. M. & Deistler, M., 1980. "Estimation of vector ARMAX models," Journal of Multivariate Analysis, Elsevier, vol. 10(3), pages 275-295, September.
- Filipović, Damir & Trolle, Anders B., 2013. "The term structure of interbank risk," Journal of Financial Economics, Elsevier, vol. 109(3), pages 707-733.
- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012.
"A comprehensive look at financial volatility prediction by economic variables,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2010. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," CREATES Research Papers 2010-58, Department of Economics and Business Economics, Aarhus University.
- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers 374, Bank for International Settlements.
- Richard T. Baillie & Tim Bollerslev, 1991.
"Intra-Day and Inter-Market Volatility in Foreign Exchange Rates,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 565-585.
- Baillie, R.T. & Bollerslev, T., 1989. "Intra Day And Inter Market Volatility In Foreign Exchange Rates," Papers 8811, Michigan State - Econometrics and Economic Theory.
- Dunis, Christian L & Huang, Xuehuan, 2002. "Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(5), pages 317-354, August.
- Heejoon Han & Dennis Kristensen, 2014.
"Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.
- Heejoon Han & Dennis Kristensen, 2012. "Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates," CREATES Research Papers 2012-25, Department of Economics and Business Economics, Aarhus University.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers 18/13, Institute for Fiscal Studies.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers CWP18/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
- Yu-chin Chen & Kwok Ping Tsang, 2013.
"What Does the Yield Curve Tell Us about Exchange Rate Predictability?,"
The Review of Economics and Statistics, MIT Press, vol. 95(1), pages 185-205, March.
- Yu-chin Chen & Kwok Ping Tsang, 2009. "What Does the Yield Curve Tell Us About Exchange Rate Predictability?," Working Papers UWEC-2009-04, University of Washington, Department of Economics.
- Yu-chin Chen & Kwok Ping Tsang, 2010. "What Does the Yield Curve Tell Us about Exchange Rate Predictability?," Working Papers 292010, Hong Kong Institute for Monetary Research.
- Edison, Hali J. & Pauls, B. Dianne, 1993.
"A re-assessment of the relationship between real exchange rates and real interest rates: 1974-1990,"
Journal of Monetary Economics, Elsevier, vol. 31(2), pages 165-187, April.
- Hali J. Edison & B. Dianne Pauls, 1991. "Re-assessment of the relationship between real exchange rates and real interest rates: 1974-1990," International Finance Discussion Papers 408, Board of Governors of the Federal Reserve System (U.S.).
- Chinn, Menzie D. & Meese, Richard A., 1995. "Banking on currency forecasts: How predictable is change in money?," Journal of International Economics, Elsevier, vol. 38(1-2), pages 161-178, February.
- Klepsch, J. & Klüppelberg, C. & Wei, T., 2017. "Prediction of functional ARMA processes with an application to traffic data," Econometrics and Statistics, Elsevier, vol. 1(C), pages 128-149.
- Ichiue, Hibiki & Koyama, Kentaro, 2011.
"Regime switches in exchange rate volatility and uncovered interest parity,"
Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1436-1450.
- Hibiki Ichiue & Kentaro Koyama, 2007. "Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity," Bank of Japan Working Paper Series 07-E-22, Bank of Japan.
- Agnieszka Markiewicz, 2012. "Model Uncertainty And Exchange Rate Volatility," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(3), pages 815-844, August.
- Meese, R. & Rogoff, K., 1988. "Was It Real? The Exchange Rate-Interest Differential Ralation Over The Modern Floating-Rate Period," Working papers 368, Wisconsin Madison - Social Systems.
- Meese, Richard A & Rogoff, Kenneth, 1988.
" Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-Rate Period,"
Journal of Finance,
American Finance Association, vol. 43(4), pages 933-948, September.
- Meese, R. & Rogoff, K., 1988. "Was It Real? The Exchange Rate-Interest Differential Ralation Over The Modern Floating-Rate Period," Working papers 368, Wisconsin Madison - Social Systems.
- Wied, Dominik & Weiß, Gregor N.F. & Ziggel, Daniel, 2016. "Evaluating Value-at-Risk forecasts: A new set of multivariate backtests," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 121-132.
- Daniel R. Kowal & David S. Matteson & David Ruppert, 2017. "A Bayesian Multivariate Functional Dynamic Linear Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 733-744, April.
- Alexander Aue & Diogo Dubart Norinho & Siegfried Hörmann, 2015. "On the Prediction of Stationary Functional Time Series," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 378-392, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2021. "Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model," MPRA Paper 109231, University Library of Munich, Germany.
- Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2020. "Forecasting value at risk with intra-day return curves," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1023-1038.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Meier, Carsten-Patrick, 1999. "Predicting real exchange rates from real interest rate differentials and net foreign asset stocks: evidence for the mark/dollar parity," Kiel Working Papers 962, Kiel Institute for the World Economy (IfW Kiel).
- Barbara Rossi, 2013.
"Exchange Rate Predictability,"
Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
- Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona School of Economics.
- Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
- Rossi, Barbara, 2013. "Exchange Rate Predictability," CEPR Discussion Papers 9575, C.E.P.R. Discussion Papers.
- Wu, Jyh-Lin, 1999. "A re-examination of the exchange rate-interest differential relationship: evidence from Germany and Japan," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 319-336, February.
- MacDonald, Ronald, 1998.
"What determines real exchange rates?: The long and the short of it,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(2), pages 117-153, June.
- Mr. Ronald MacDonald, 1997. "What Determines Real Exchange Rates? The Long and Short of it," IMF Working Papers 1997/021, International Monetary Fund.
- Ahmad Zubaidi Baharumshah & Liew Khim Sen & Lim Kian Ping, 2003. "Exchange Rates Forecasting Model: An Alternative Estimation Procedure," International Finance 0307005, University Library of Munich, Germany.
- Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
- Juan Jose Echavarria & Mauricio Villamizar-Villegas, 2016.
"Great expectations? evidence from Colombia’s exchange rate survey,"
Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 25(1), pages 1-27, December.
- Juan José Echavarría & Mauricio Villamizar, 2012. "Great expectations? Evidence from Colombia’s exchange rate survey," Borradores de Economia 735, Banco de la Republica de Colombia.
- Andrew M. Warner, 1997. "Mexico's 1994 Exchange Rate Crisis Interpreted in Light of the Non-Traded Model," NBER Working Papers 6165, National Bureau of Economic Research, Inc.
- Alexius, Annika, 2001. "How to Beat the Random Walk," Working Paper Series 175, Trade Union Institute for Economic Research.
- Clarida, Richard H. & Sarno, Lucio & Taylor, Mark P. & Valente, Giorgio, 2003.
"The out-of-sample success of term structure models as exchange rate predictors: a step beyond,"
Journal of International Economics, Elsevier, vol. 60(1), pages 61-83, May.
- Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc.
- Taylor, Mark & Clarida, Richard & Sarno, Lucio & Valente, Giorgio, 2002. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," CEPR Discussion Papers 3281, C.E.P.R. Discussion Papers.
- Zhou, Su & Mahdavi, Saeid, 1996. "Simple vs. generalized interest rate and purchasing power parity models of exchange rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(2), pages 197-218.
- Moosa, Imad & Burns, Kelly, 2014. "The unbeatable random walk in exchange rate forecasting: Reality or myth?," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 69-81.
- Debabrata Bagchi & Georgios E. Chortareas & Stephen M. Miller, 2004.
"The Real Exchange Rate in Small, Open, Developed Economies: Evidence from Cointegration Analysis,"
The Economic Record, The Economic Society of Australia, vol. 80(248), pages 76-88, March.
- Debabrata Bagchi & Georgios E. Chortareas & Stephen M. Miller, 2003. "The Real Exchange Rate in Small Open Developed Economies: Evidence from Cointegration Analysis," Working papers 2003-27, University of Connecticut, Department of Economics.
- Amano, R. A. & van Norden, S., 1998.
"Oil prices and the rise and fall of the US real exchange rate,"
Journal of International Money and Finance, Elsevier, vol. 17(2), pages 299-316, April.
- Robert A. Amano & Simon van Norden, 1995. "Oil Prices and the Rise and Fall of the U.S. Real Exchange Rate," International Finance 9502001, University Library of Munich, Germany.
- Sergio Da Silva, 2004. "International Finance, Levy Distributions, and the Econophysics of Exchange Rates," International Finance 0405018, University Library of Munich, Germany.
- Francis X. Diebold & Jose A. Lopez, 1995.
"Forecast evaluation and combination,"
Research Paper
9525, Federal Reserve Bank of New York.
- Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers 0192, National Bureau of Economic Research, Inc.
- Mark, Nelson C. & Choi, Doo-Yull, 1997. "Real exchange-rate prediction over long horizons," Journal of International Economics, Elsevier, vol. 43(1-2), pages 29-60, August.
- Francis Vitek, 2005. "The Exchange Rate Forecasting Puzzle," International Finance 0509005, University Library of Munich, Germany.
- Dominguez, Kathryn M. E., 2003.
"The market microstructure of central bank intervention,"
Journal of International Economics, Elsevier, vol. 59(1), pages 25-45, January.
- Dominguez & K., 1997. "The Market Microstructure of Central Bank Intervention," Working Papers 412, Research Seminar in International Economics, University of Michigan.
- Kathryn M. Dominguez, 1999. "The Market Microstructure of Central Bank Intervention," NBER Working Papers 7337, National Bureau of Economic Research, Inc.
More about this item
Keywords
value-at-risk; GARCH; yield curve; functional data; PCA;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:6:y:2018:i:3:p:84-:d:164655. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.