Oil Strikes Back: Trend Factors and Exchange Rates

被引:0
作者
Han, Liyan [1 ,2 ]
Xu, Yang [3 ,4 ]
Zhang, Qunzi [4 ,5 ]
Zhu, Xiaoneng [6 ]
机构
[1] Beihang Univ, Sch Econ & Management, Lab Low carbon Intelligent Governance, Beijing, Peoples R China
[2] Yanqi Lake Beijing Inst Math Sci & Applicat, Digital Econ Lab, Beijing, Peoples R China
[3] Beihang Univ, Sch Econ & Management, Beijing, Peoples R China
[4] Beihang Univ, Lab Low carbon Intelligent Governance, Beijing, Peoples R China
[5] Shandong Univ, Sch Econ, Jinan, Peoples R China
[6] Shanghai Univ Finance & Econ, Sch Finance, Shanghai, Peoples R China
基金
国家重点研发计划;
关键词
exchange rates; forecasting; out-of-sample; oil; asset allocation; ASSET-ALLOCATION; MONETARY-POLICY; PRICE SHOCKS; TERM STRUCTURE; STOCK RETURNS; RATE MODELS; PREDICTABILITY; FUNDAMENTALS; MACROECONOMY; VOLATILITY;
D O I
10.1111/jmcb.13146
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
A well-known puzzle in international finance is that, to predict exchange rate returns, existing predictive models often perform worse than the naive random walk (RW) model. In this paper, we construct an oil trend factor which performs better than the RW model. More importantly, an oil-trend-based dynamic trading strategy can generate superior economic values. This result holds in both developed and emerging markets, with different forecasting horizons, with different specifications of trend factors, and across different currencies. Finally, we explore the economic link for the powerful predictability of the oil trend factor.
引用
收藏
页数:41
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