Forecasting foreign exchange rates using idiosyncratic volatility

被引：9

作者：

Guo, Hui ^{[1
]}

Savickas, Robert ^{[2
]}

机构：

[1] Univ Cincinnati, Coll Business Adm, Cincinnati, OH 45221 USA

[2] George Washington Univ, Dept Finance, Washington, DC 20052 USA

来源：

JOURNAL OF BANKING & FINANCE | 2008年 / 32卷 / 07期

关键词：

exchange rate predictability; average idiosyncratic stock volatility; monetary model; out-of-sample forecast; bootstrap; data mining;

D O I：

10.1016/j.jbankfin.2007.11.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Average idiosyncratic stock volatility forecasts the bilateral exchange rates of the US dollar against major foreign currencies in and out of sample. The US dollar tends to appreciate after an increase in US idiosyncratic volatility. Similarly, ceteris paribus, German and Japanese idiosyncratic volatilities positively and significantly correlate with future US dollar prices of the Deutsche mark and the Japanese yen, respectively. Our results suggest that exchange rates are predictable. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：1322 / 1332

页数：11

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