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Empirical exchange rate models and currency risk : some evidence from density forecasts
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Sarno, Lucio and Valente, Giorgio (2005) Empirical exchange rate models and currency risk : some evidence from density forecasts. In: 8th International Conference on Macroeconomic Analysis and International Finance, Rethymno, Greece, 27-29 May 2004. Published in: Journal of International Money and Finance, 24 (2). pp. 363-385. doi:10.1016/j.jimonfin.2004.12.011 ISSN 0261-5606.
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Official URL: http://dx.doi.org/10.1016/j.jimonfin.2004.12.011
Abstract
A large literature in exchange rate economics has investigated the forecasting performance of empirical exchange rate models using conventional point forecast accuracy criteria. However, in the context of managing exchange rate risk, interest centers on more than just point forecasts. This paper provides a formal evaluation of recent exchange rate models based on the term structure of forward exchange rates, which previous research has shown to be satisfactory in point forecasting, in terms of density forecasting performance. The economic value of the exchange rate density forecasts is investigated in the context of an application to a simple risk management exercise. (c) 2004 Elsevier Ltd. All rights reserved.
Item Type: | Conference Item (Paper) | ||||
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Subjects: | H Social Sciences > HG Finance | ||||
Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
Journal or Publication Title: | Journal of International Money and Finance | ||||
Publisher: | Elsevier BV | ||||
ISSN: | 0261-5606 | ||||
Official Date: | March 2005 | ||||
Dates: |
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Volume: | 24 | ||||
Number: | 2 | ||||
Number of Pages: | 23 | ||||
Page Range: | pp. 363-385 | ||||
DOI: | 10.1016/j.jimonfin.2004.12.011 | ||||
Publication Status: | Published | ||||
Conference Paper Type: | Paper | ||||
Title of Event: | 8th International Conference on Macroeconomic Analysis and International Finance | ||||
Type of Event: | Conference | ||||
Location of Event: | Rethymno, Greece | ||||
Date(s) of Event: | 27-29 May 2004 |
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