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Exchange rate return predictability in times of geopolitical risk
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TLDR
In this paper , the authors developed the hypothesis that geopolitical risk predicts exchange rate returns and demonstrated that the information content embedded in geopolitical risk is economically useful and can improve the forecast accuracy of exchange rate return.About:
This article is published in International Review of Financial Analysis.The article was published on 2022-02-01. It has received 20 citations till now. The article focuses on the topics: Predictability & Geopolitics.read more
Citations
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Does the Russia-Ukraine War Lead to Currency Asymmetries? A US Dollar Tale
Journal ArticleDOI
Does the Russia-Ukraine war lead to currency asymmetries? A US dollar tale
TL;DR: In this article , the authors examined the impact of the Russia-Ukraine war on the value of global currencies against the US dollar using event study methodology and market model estimates, and found that the Russian rouble, Czech koruna, and Polish zloty depreciated against the USD, Pacific currencies appreciated significantly, and the currencies of the Middle East and Africa are insignificant.
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Hedging Geopolitical Risks with Different Asset Classes: A Focus on the Russian Invasion of Ukraine*
TL;DR: In this paper , the authors examined the impact of geopolitical risk on various types of securities and found that green bonds, gold, silver, Swiss franc, and real estate proved to be the most resistant to geopolitical risk fluctuations.
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Oil tail risk and the tail risk of the US Dollar exchange rates
TL;DR: In this paper , the in-sample and out-of-sample predictive value of oil tail risk for the tail risk of US Dollar exchange rates (USD/CAD, USD/GBP and USD/JPY), where the conditional autoregressive value at risk (CAViaR) of the Engle and Manganelli (2004) is used to estimate the tail risks under 1% and 5% VaRs.
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Asymmetric impacts of geopolitical risk on stock markets: A comparative analysis of the E7 and G7 equities during the Russian-Ukrainian conflict
Ahmed Bossman,Mariya Gubareva +1 more
TL;DR: In this article , the authors analyzed the asymmetric financial impact of the Russian-Ukrainian conflict-induced geopolitical risk (GPR) on the top-seven emerging (E7) and developed (G7) stock markets.
References
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Expectations and Exchange Rate Dynamics
TL;DR: In this paper, the authors developed a theory of exchange rate movements under perfect capital mobility, a slow adjustment of goods markets relative to asset markets, and consistent expectations, and showed that along that path a monetary expansion causes the exchange rate to depreciate.
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Measuring Economic Policy Uncertainty
TL;DR: The authors developed a new index of economic policy uncertainty based on newspaper coverage frequency and found that policy uncertainty spikes near tight presidential elections, Gulf Wars I and II, the 9/11 attacks, the failure of Lehman Brothers, the 2011 debt ceiling dispute and other major battles over fiscal policy.
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Fear of Floating
TL;DR: This article analyzed the behavior of exchange rates, reserves, monetary aggregates, interest rates, and commodity prices across 154 exchange rate arrangements to assess whether official labels' provide an adequate representation of actual country practice.
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Uncertainty about Government Policy and Stock Prices
TL;DR: This paper analyzed how changes in government policy affect stock prices and found that stock prices should fall at the announcements of policy changes, on average, if uncertainty about government policy is large, and also if the policy change is preceded by a short or shallow economic downturn.
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Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates
TL;DR: In this article, the authors investigated the effects of shocks to U S monetary policy on exchange rates and found substantial evidence of a link between monetary policy and exchange rates, showing that a contractionary shock to US monetary policy leads to persistent, significant appreciations in U S nominal and real exchange rates.