This chapter surveys recent theoretical and empirical contributions on foreign exchange rate
determination. The chapter first examines monetary models under uncovered interest parity …

We examine the empirical properties of the payoffs to two popular currency speculation
strategies: the carry trade and momentum. We review three possible explanations for the …

The uncovered interest parity puzzle concerns the empirical regularity that high interest rate
countries tend to have high expected returns on short term deposits. A separate puzzle is …

Abstract The Business Cycle Dating Committee of the National Bureau of Economic
Research provides a historical chronology of business cycle turning points. We investigate …

The main objective of this paper is to investigate the fundamentals of safe haven currencies,
which are those currencies that provide an hedge for a reference portfolio of risky assets …

We test the relevance of technical and fundamental variables in forming currency portfolios.
Carry, momentum, and value reversal all contribute to portfolio performance, whereas the …

This paper utilizes quarterly panel data for 20 OECD countries over the period 1975: Q1–
2014: Q2 to explore the importance of house prices and credit in affecting the likelihood of a …

Abstract The Great Financial Crisis of 2007-09 confirmed the vital importance of advancing
our understanding of macrofinancial linkages, the two-way interactions between the real …

We assess the properties of currency value strategies based on real exchange rates. We
find that real exchange rates have predictive power for the cross-section of currency excess …

We reassess the in-and out-of-sample predictability of US recessions at horizons of three
months to two years ahead for a large number of previously proposed leading indicator …