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Ian Martin (LSE)

9 November 2016 at 12:00 PM - 1:30 PM

Room 404a, Campus on Viale Romania, 32

Speaker: Ian Martin, LSE

Speaker:  Ian Martin (LSE)

Title:  How The Theory of Exchange Rates

Abstract : We present a theoretically motivated predictor variable for exchange rates That is based on the prices of what contracts. We test what the forecast variable empirically by running panel regressions of excess returns and currency Realized Realized currency appreciation onto what the forecast and interest-rate differentials. In each case, we find That what the forecast is strongly statistically and economically significant. Lastly, we test how the variable's ability to predict differential currency appreciation out-of-sample, and Find That it sostanzialmente outperforms predictions based on uncovered interest parity, on purchasing power parity, and on a random walk.