forecasting and PPP: This time the random walk loses", An earlier version was published as ECB Working Paper No. 1576, 2013
. Chinn M., Meredith G., 2004. Monetary Policy and Long-Horizon Uncovered Interest Parity. IMF Staff papers, 51:409-430
. Copeland L., Lu W., 2016. Dodging the steamroller: Fundamentals versus the carry trade. Journal of International Financial Markets, Institutions & Money 42(2016): 115-131.
. Engel C., 1996. The forward discount anomaly and the risk premium:a survey of recent evidence. Journal of Empirical Finance, 3 (1996): 123-192.
. Engel C., Mark N. et al (2007). Exchange Rate Models Are Not As Bad As You Think. NBER Macroeconomics Annual 22: 381-441, 443-473
. Fama, E.F. (1984) Forward and Spot Exchange Rates. JME 14,319-38.
. Frankel J., Poonawala J., 2010. The forward market in emerging currencies: less biased than in major currencies. Journal of International Money and Finance 29 (2010): 585-598
. Froot K., 1990. Short rates and expected asset returns. NBER Working paper №3247
. Froot K., Thaler R., 1990. Anomalies: foreign exchange. The Journal of Economic Perspectives 4(3): 179-192
. Froot K., Frankel J., 1989. Forward Discount Bias: Is It An Exchange Rate Premium?. Quarterly Journal of Economics 104:139-161
. Fisher, I., 1930. The Theory of Interest. McMillan, New York.
. Gurvich E., Sokolov V., Ulykaev A., 2009. Analysis of the Relationship Between the Exchange Rate Policy of the RussianCentral Bank and the Interest Rates:Uncovered and covered Parity
. Jorion P., Sweeney R., 1996. Mean reversion in real exchange rates: evidence and implications for forecasting. Journal of International Money and Finance 15(4): 535:550
. Keynes, J.M., 1923. A Tract on Monetary Reform. Macmillan, London.
. Lothian R. and Taylor M., 1996. The Journal of Political Economy 104, pp.488-509
. Lustig H., Roussanov N., Verdelhan A., 2011. Common Risk Factors in Currency Markets. Review of Financial Studies 24 (11): 3731-3777
. McCallum B., 1992. A reconsideration of the uncovered interest parity relationship. Journal of Monetary Economics 33(1):105-132
. Meese, R A and K Rogoff (1983), "Empirical exchange rate models of the seventies: Do they fit out of sample?", Journal of International Economics 14 (1-2), 933-948.
. Menkhoff L., Sarno M., Shmeling M., Schrimpf A., 2012. Carry Trades and Global Foreign Exchange Volatility. The Journal of Finance, 67: 681-718
. Rafferty B., 2011. Currency returns, skewness and crash risk. Duke University, working paper.
. Rogoff K. (1996). The Purchasing Power Parity Puzzle. Journal of Economic Literature 34 (2): 647-668
. Skinner S., Mason A., 2011. Covered Interest Rate Parity in Emerging Markets. International Review of Financial Analysis (20):355-363.
. Taylor M., 1989. Covered Interest Arbitrage and Market Turublence. The Economic Journal 99 (June):376-391
. Villanueva, O. Miguel (2007) Forecasting Currency Excess Returns: Can the Forward Bias Be Exploited? JFQA 42, 963-90.
. BBA reduces Libor rates after scandal - http://www.bloomberg.com/news/articles/2013-06-03/bba-reduces-libor-rates-after-scandal.
. db Currency returns - http://www.cbs.db.com/new/docs/dbCurrencyReturns_March2009.pdf.
. iPath® Optimized Currency Carry ETN Prospectus- http://www.ipathetn.com/US/16/en/contentStore.app?id=4269506
. PowerShares DB G10 Currency Harvest Fund Fact Sheet - https://www.invesco.com/static/us/financial-professional/contentdetail?contentId=dfd207c649400410VgnVCM10000046f1bf0aRCRD&dnsName=us
Приложение. Программный код на языке R для построения валютных стратегий#############################################################
# Libraries---------------------------------------------------------------------(timeSeries)(ggplot2)(openxlsx)(xlsx)(sandwich)(lmtest)
#############################################################
#functions----------------------------------------------------------------------
Похожие работы
Тема: Деятельность Банка России на рынке ценных бумаг и валютном рынке |
Предмет/Тип: Банковское дело (Курсовая работа (т)) |
Тема: Деятельность Центрального банка России на рынке ценных бумаг и валютном рынке |
Предмет/Тип: Финансы, деньги, кредит (Диплом) |
Тема: Операции на валютном рынке |
Предмет/Тип: Финансы, деньги, кредит (Контрольная работа) |
Тема: Операции коммерческих банков на валютном рынке 2 |
Предмет/Тип: Финансы, деньги, кредит (Реферат) |
Тема: Инновации на современном мировом валютном рынке |
Предмет/Тип: Мировая экономика, МЭО (Курсовая работа (т)) |
Интересная статья: Быстрое написание курсовой работы