Assessing The Predictive Ability Of Sovereign Default Risk On Exchange Rate Returns
Download Assessing The Predictive Ability Of Sovereign Default Risk On Exchange Rate Returns full books in PDF, epub, and Kindle. Read online free Assessing The Predictive Ability Of Sovereign Default Risk On Exchange Rate Returns ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns
Author | : Claudia Foroni |
Publisher | : |
Total Pages | : 36 |
Release | : 2017 |
Genre | : Default (Finance) |
ISBN | : |
Download Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns Book in PDF, Epub and Kindle
"Increased sovereign credit risk is often associated with sharp currency movements. Therefore, expectations of the probability of a sovereign default event can convey important information regarding future movements of exchange rates. In this paper, we investigate the possible pass-through of risk in the sovereign debt markets to currency markets by proposing a new risk premium factor for predicting exchange rate returns based on sovereign default risk. We compute it from the term structure at different maturities of sovereign credit default swaps and conduct an out-of-sample forecasting exercise to test whether we can improve upon the benchmark random walk model. Our results show that the inclusion of the default risk factor improves the forecasting accuracy upon the random walk model at short forecasting horizons"--Abstract, p. ii.
Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns Related Books
Pages: 36
Pages: 270
Pages: 524
Pages: 133
Pages: 53