skip to primary navigationskip to content
 

CF weekly workshop - Weiwei Yin

When Oct 19, 2010
from 05:00 PM to 06:00 PM
Where Winstanley Lecture Theatre, Trinity College
Contact Name
Add event to calendar vCal
iCal

Weiwei Yin (Faculty of Economics) presenting.

Title: On the Forecasting Performance of Macroeconomic Fundamentals on Exchange Rate Movements

Abstract: This paper investigates the forecasting performance of macroeconomic fundamentals on exchange rate returns using a macro-finance approach. Exchange rate movements are endogenously determined by the ratio between domestic and foreign stochastic discount factors, through which the macroeconomic fundamentals nonlinearly model the exchange rate dynamics. Using three floating nominal exchange rates, i.e. DEM(EUR)/USD, GBP/USD, and JPY/USD observed at the monthly as well as quarterly time frequencies, this paper has the following findings. First, five out of the six model-implied time-varying foreign exchange risk premiums satisfy the Fama conditions (Fama, 1984). Second, comparing to the random walk model, this no-arbitrage macro-finance model reduces the forecasting root mean square errors, especially for data observed at the quarterly time frequency.

« December 2019 »
December
MoTuWeThFrSaSu
1
2345678
9101112131415
16171819202122
23242526272829
3031

RSS Feed Latest news

Winners of the Best Student Paper Award 2018 announced

Aug 21, 2018

Cambridge Finance is proud to announce the winners of the Best student Paper Award for 2017-2018

View all news

Upcoming events

Cambridge Finance Workshop - Anne Villamil

Jan 23, 2020

Upper Hall, Peterhouse College, Cambridge CB2 1RD

Cambridge Finance Workshop - Alberto Manconi

Feb 06, 2020

Upper Hall, Peterhouse College, Cambridge CB2 1RD

Cambridge Finance Workshop - Ernst Maug

Feb 20, 2020

KH107, Keynes House, Cambridge Judge Business School

Previous events

Upcoming events