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on International Finance |
| By: | Ken Miyajima |
| Abstract: | Using monthly data for four selected emerging economies, sterilised central bank foreign exchange intervention is found to have little systematic influence on the near-term nominal exchange rate expectations in the direction intended by the central banks. In other words, central bank dollar purchases to stem exchange rate appreciation or related exchange rate volatility are not associated with an adjustment of the near-term exchange rate forecasts in the direction of depreciation, and vice versa. This suggests intervention may not change the nearterm exchange rate expectations. Moreover, intervention may have had unintended effects in the sense that it can lead to undesired volatility in the exchange rate, which is consistent with previous studies. |
| Keywords: | exchange rate expectation, foreign exchange intervention |
| Date: | 2013–06 |
| URL: | http://d.repec.org/n?u=RePEc:bis:biswps:414&r=ifn |
| By: | Mathias Hoffmann; Rahel Suter |
| Abstract: | We sort currencies into portfolios by countries’ consumption growth over the past year. The excess return of the highest-consumption-growth currency portfolio over the portfolio of lowest-consumption-growth currencies is positive on average, compensating investors for large negative returns during world-wide downturns. This return—our consumption carry factor—prices the cross-section of portfolio-sorted and of bilateral currency returns. Our results rest on minimal theoretical restrictions but can be interpreted in a habit formation model: sorting currencies on past consumption growth approximates sorting countries based on risk aversion and low (high) risk-aversion currencies depreciate (appreciate) in times of global turmoil. |
| Keywords: | Foreign exchange, uncovered interest parity, carry trade returns, consumption risk, asset pricing, habit model |
| JEL: | E44 F31 F44 G12 G15 |
| Date: | 2013–06 |
| URL: | http://d.repec.org/n?u=RePEc:zur:econwp:124&r=ifn |
| By: | Patnaik, Ila (National Institute of Public Finance and Policy); Shah, Ajay (National Institute of Public Finance and Policy) |
| Abstract: | We compare the investment technology of foreign versus domestic investors with a focus on decomposing outcomes attributable to asset allocation and security selection. We document significant differences in exposure to systematic asset pricing factors between foreign and domestic investors. A quasi-experimental strategy is introduced, for comparing security selection after controlling for differences in asset allocation. Our results show that foreign investors in India fare poorly at security selection, while domestic investors fare well. |
| Date: | 2013–06 |
| URL: | http://d.repec.org/n?u=RePEc:npf:wpaper:13/124&r=ifn |