MARC Record from Library of Congress

LEADER: 02160cam a22003017a 4500
001 2005619336
003 DLC
005 20050725080618.0
007 cr |||||||||||
008 050722s2005 mnu sb f000 0 eng
010 $a 2005619336
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aGuo, Hui.
245 10 $aForeign exchange rates don℗t follow a random walk$h[electronic resource] /$cby Hui Guo and Robert Savickas.
260 $a[St. Louis, Mo.] :$bFederal Reserve Bank of St. Louis,$c[2005]
490 1 $aWorking paper ;$v2005-025A
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 7/22/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"The paper documents a new empirical result that a high level of aggregate U.S. idiosyncratic stock return volatility is usually associated with a future appreciation in U.S. dollars. The relation is highly significant for most foreign currencies. For example, idiosyncratic volatility accounts for over 20 percent variations of the subsequent change in the Deutsche mark/U.S. dollar rate in the non-overlapping semi-annual data and its improvements over the random walk model in the out-of-sample forecast are statistically significant. We find the similar result--a positive and significant relation between a country's aggregate idiosyncratic volatility and the future U.S. dollar price of its currency--in France, Germany, and Japan. Moreover, the U.S. default premium provides additional information about future exchange rates. Given that idiosyncratic volatility and the default premium are strong predictors of fundamentals, our results are consistent with monetary models of foreign exchange rates"--Federal Reserve Bank of St. Louis web site.
650 0 $aForeign exchange rates$xEconometric models.
700 1 $aSavickas, Robert.
710 2 $aFederal Reserve Bank of St. Louis.
830 0 $aWorking paper (Federal Reserve Bank of St. Louis : Online) ;$v2005-025A.
856 40 $uhttp://research.stlouisfed.org/wp/more/2005-025/