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Model-free evaluation of directional predictability in foreign exchange markets

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Author Info
Jaehun Chung (Balance Sheet Measurement, Canadian Imperial Bank of Commerce, Toronto, Ontario, Canada)
Yongmiao Hong (Department of Economics, Cornell University, Ithaca, New York, USA; Wang Yanan Institute for Studies in Economics, Xiamen, China)
Abstract

We examine directional predictability in foreign exchange markets using a model-free statistical evaluation procedure. Based on a sample of foreign exchange spot rates and futures prices in six major currencies, we document strong evidence that the directions of foreign exchange returns are predictable not only by the past history of foreign exchange returns, but also the past history of interest rate differentials, suggesting that the latter can be a useful predictor of the directions of future foreign exchange rates. This evidence becomes stronger when the direction of larger changes is considered. We further document that despite the weak conditional mean dynamics of foreign exchange returns, directional predictability can be explained by strong dependence derived from higher-order conditional moments such as the volatility, skewness and kurtosis of past foreign exchange returns. Moreover, the conditional mean dynamics of interest rate differentials contributes significantly to directional predictability. We also examine the co-movements between two foreign exchange rates, particularly the co-movements of joint large changes. There exists strong evidence that the directions of joint changes are predictable using past foreign exchange returns and interest rate differentials. Furthermore, both individual currency returns and interest rate differentials are also useful in predicting the directions of joint changes. Several sources can explain this directional predictability of joint changes, including the level and volatility of underlying currency returns. Copyright © 2007 John Wiley & Sons, Ltd.

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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 22 (2007)
Issue (Month): 5 ()
Pages: 855-889
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Handle: RePEc:jae:japmet:v:22:y:2007:i:5:p:855-889

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  1. Armin Shmilovici & Yoav Kahiri & Irad Ben-Gal & Shmuel Hauser, 2009. "Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm," Computational Economics, Springer, vol. 33(2), pages 131-154, March. [Downloadable!] (restricted)
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  2. John Pippenger, 2008. "Freely Floating Exchange Rates Do Not Systematically Overshoot," University of California at Santa Barbara, Economics Working Paper Series 01-08, Department of Economics, UC Santa Barbara. [Downloadable!]
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