Topic
Foreign exchange market
About: Foreign exchange market is a research topic. Over the lifetime, 6661 publications have been published within this topic receiving 153384 citations. The topic is also known as: forex & FX.
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TL;DR: This article provided the first econometric study of foreign exchange market intervention for the UK during the sterling crises from 1964-1967. But they used daily data on spot and forward dollar/sterling exchange rates and reserve movements which allows a more precise description of the loss of credibility during four currency crises.
Abstract: We provide the first econometric study of foreign exchange market intervention for the UK during the sterling crises from 1964-1967 We use daily data on spot and forward dollar/sterling exchange rates and reserve movements which allows a more precise description of the loss of credibility during four currency crises Reserve losses are consistent with exchange rate crises External assistance given to sterling throughout this period shored up the reserves and allowed the sterling peg to be maintained
34 citations
TL;DR: In this article, the authors found that the exposure of domestic tourism-related firms to foreign exchange risk results from price elasticity of demand, accounting for nonlinearity, asymmetry, and lagged effects.
34 citations
TL;DR: In this article, two VAR models for testing efficiency and expectations in foreign exchange markets were proposed and sufficient conditions for efficiency and rational expectations, by imposing restrictions on the VAR parameters, were derived.
34 citations
TL;DR: This paper investigated the ability of 22 currency forecasters to predict movements in three major exchange rates and examined the profitability of portfolios of forward market positions constructed on the basis of the predictions of each forecaster.
Abstract: This note investigates the ability of 22 currency forecasters to predict movements in three major exchange rates. In particular, it examines the profitability of portfolios of forward market positions constructed on the basis of the predictions of each forecaster. The key findings of the paper are that just one panel member proves significantly profitable to follow, and that investing on the basis of the naive alternative prediction of ‘no change’ produces high, though volatile, profits. We conclude that the majority of currency analysts have little ability to predict the future.
34 citations
TL;DR: In this paper, the authors compare two competing approaches to model foreign exchange market participants' behavior: statistical learning and fitness learning, and find that both learning methods reveal the fundamental value of the exchange rate in the equilibrium but only fitness learning creates the disconnection phenomenon and only statistical learning replicates volatility clustering.
34 citations