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Further Evidence On Technical Trading Profitability And Foreign Exchange Intervention
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Book Synopsis Further Evidence on Technical Trading Profitability and Foreign Exchange Intervention by : Simon Sosvilla-Rivero
Download or read book Further Evidence on Technical Trading Profitability and Foreign Exchange Intervention written by Simon Sosvilla-Rivero and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we present new evidence on the positive correlation between returns from technical trading rules and periods of central bank intervention. To that end, we evaluate the profitability of a trading strategy based on nearest-neighbour (nonlinear) predictors, which may be viewed as a generalisation of graphical methods widely used in financial markets. We use daily data on the US Dollar/Deutsche mark and US Dollar/Japanese Yen covering the 1 February 1982-31 December 1996 period. Our results suggest that the exclusion of days of US intervention implies a substantial reduction in all profitability indicators (net returns, ideal profit measure, Sharpe ratio and directional forecast), being the reduction grater in the US Dollar-Deustchmark case than in the US Dollar-Japanese yen case.
Book Synopsis Further Evidence on Technical Analysis and Profitability of Foreign Exchange Intervention by : Simón Sosvilla Rivero
Download or read book Further Evidence on Technical Analysis and Profitability of Foreign Exchange Intervention written by Simón Sosvilla Rivero and published by . This book was released on 1999 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Technical Trading Rule Profitability and Foreign Exchange Intervention by : Blake LeBaron
Download or read book Technical Trading Rule Profitability and Foreign Exchange Intervention written by Blake LeBaron and published by . This book was released on 2010 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve. The objective is to find out to what extent foreign exchange predictability can be confined to periods of central bank activity in the foreign exchange market. The results indicate that after removing periods in which the Federal Reserve is active, exchange rate predictability is dramatically reduced.
Book Synopsis Technical Trading Rule Profitability and Foreign Exchange Intervention by : Blake Dean LeBaron
Download or read book Technical Trading Rule Profitability and Foreign Exchange Intervention written by Blake Dean LeBaron and published by . This book was released on 1996 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve. The objective is to find out to what extent foreign exchange predictability can be confined to periods of central bank activity in the foreign exchange market. The results indicate that after removing periods in which the Federal Reserve is active, exchange rate predictability is dramatically reduced
Book Synopsis Further evidence on technical analysis and profitability of foreing exchange intervention by : Simón Sosvilla Rivero
Download or read book Further evidence on technical analysis and profitability of foreing exchange intervention written by Simón Sosvilla Rivero and published by . This book was released on 1999 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Technical Analysis and the Profitability of United States Foreign Exchange Intervention by :
Download or read book Technical Analysis and the Profitability of United States Foreign Exchange Intervention written by and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Cf.: http://dx.doi.org/10.3886/ICPSR01193.v1.
Book Synopsis Technical Analysis and Central Bank Intervention by : Christopher J. Neely
Download or read book Technical Analysis and Central Bank Intervention written by Christopher J. Neely and published by . This book was released on 1999 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Technical Trading-Rule Profitability, Data Snooping, and Reality Check by : Min Qi
Download or read book Technical Trading-Rule Profitability, Data Snooping, and Reality Check written by Min Qi and published by . This book was released on 2010 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We report evidence on the profitability and statistical significance among 2,127 technical trading rules. The best rules are found to be significantly profitable based on standard tests. We then employ White's (2000) Reality Check to evaluate these rules and find that data-snooping biases do not change the basic conclusions for the full sample. A sub-sample analysis indicates that the data-snooping problem is more serious in the second half of the sample. Profitability becomes much weaker in the more recent period, suggesting that the foreign exchange market becomes more efficient over time. Evidence from cross exchange rates confirms the basic findings.
Book Synopsis The Significance of Technical Trading-rule Profits in the Foreign Exchange Market by : Richard M. Levich
Download or read book The Significance of Technical Trading-rule Profits in the Foreign Exchange Market written by Richard M. Levich and published by . This book was released on 1991 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework by : Romain Lafarguette
Download or read book Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework written by Romain Lafarguette and published by International Monetary Fund. This book was released on 2021-02-12 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.
Book Synopsis FX Intervention to Stabilize or Manipulate the Exchange Rate? Inference from Profitability by : Mr.Damiano Sandri
Download or read book FX Intervention to Stabilize or Manipulate the Exchange Rate? Inference from Profitability written by Mr.Damiano Sandri and published by International Monetary Fund. This book was released on 2020-06-12 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the profitability of FX swaps used by the central bank of Brazil to shed light on the rationale for FX intervention. We find that swaps are profitable in expectation, suggesting that FX intervention is used to stabilize the exchange rate in the face of temporary excessive movements rather than to manipulate it away from fundamental values. In line with this interpretation, we find that the scale of FX intervention responds to the degree of exchange rate misalignment relative to UIP conditions. We also document that intervention is more aggressive when there is less uncertainty about the medium-term level of the exchange rate and when the exchange rate is overvalued rather than undervalued.
Book Synopsis Technical Analysis on Foreign Exchange Markets by : Ulrike Ludden
Download or read book Technical Analysis on Foreign Exchange Markets written by Ulrike Ludden and published by Lit Verlag. This book was released on 1999 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: " During the last decades, the international financial markets saw enormous developments. Today, every newspaper offers advice on investment strategies and analysts seemingly earn money by drawing magic lines through prices series. Even though more and more traders rely on technical analysis, economists remain sceptical. How can the apparent success of technical trading strategies be reconciled with efficient market theories? This book mainly consists of three parts. The first part critically reviews the empirical literature on technical analysis and suggests to leave behind profitability calculations in favor of a systematic approach to analyzing trading rules, where special attention is given to the evaluation of the rules' forecasts. The second part presents the results of an empirical analysis that covers 5 exchange rates series spanning more than 20 years. In the third part, the theoretical background as well as the implications of a widespread use of technical analysis are critically discussed. The thorough overview presented here lays a foundation for further discussions of technical analyses and its effects on markets. "
Author :Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico Publisher : ISBN 13 :9789291319626 Total Pages :0 pages Book Rating :4.3/5 (196 download)
Book Synopsis Market Volatility and Foreign Exchange Intervention in EMEs by : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Download or read book Market Volatility and Foreign Exchange Intervention in EMEs written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Is Technical Analysis in the Foreign Exchange Market Profitable? by : Christopher J. Neely
Download or read book Is Technical Analysis in the Foreign Exchange Market Profitable? written by Christopher J. Neely and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using genetic programming techniques to find technical trading rules, we find strong evidence of economically significant out-of-sample excess returns to those rules for each of six exchange rates, over the period 1981-1995. Further, when the dollar/deutschemark rules are allowed to determine trades in the other markets, there is significant improvement in performance in all cases, except for the deutschemark/yen. Betas calculated for the returns according to various benchmark portfolios provide no evidence that the returns to these rules are compensation for bearing systematic risk. Bootstrapping results on the dollar/deutschemark indicate that the trading rules detect patterns in the data that are not captured by standard statistical models.
Book Synopsis Do Technical Trading Profits Remain in the Foreign Exchange Market? Evidence from Fourteen Currencies by : Igor Cialenco
Download or read book Do Technical Trading Profits Remain in the Foreign Exchange Market? Evidence from Fourteen Currencies written by Igor Cialenco and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the in- and out-of-sample behavior of two popular trading systems, Alexander and Double MA filters, for fourteen developed-country currencies using daily data with bid-ask spreads. We find significant in-sample returns in the early periods. But out-of-sample returns are lower and only occasionally significant. We show that a currency risk factor proposed in the literature is systematically related to these returns. We find no support for the hypotheses that falling transactions costs are responsible for declining trading profits or for the Adaptive Market hypothesis. Importantly, we show that algorithms that simulate out-of-sample returns have serious instability difficulties.
Book Synopsis The Profitability of Technical Analysis by : Cheol-Ho Park
Download or read book The Profitability of Technical Analysis written by Cheol-Ho Park and published by . This book was released on 2004 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this report is to review the evidence on the profitability of technical analysis. The empirical literature is categorized into two groups, quot;earlyquot; and quot;modernquot; studies, according to the characteristics of testing procedures. Early studies indicated that technical trading strategies were profitable in foreign exchange markets and futures markets, but not in stock markets before the 1980s. Modern studies indicated that technical trading strategies consistently generated economic profits in a variety of speculative markets at least until the early 1990s. Among a total of 92 modern studies, 58 studies found positive results regarding technical trading strategies, while 24 studies obtained negative results. Ten studies indicated mixed results. Despite the positive evidence on the profitability of technical trading strategies, it appears that most empirical studies are subject to various problems in their testing procedures, e.g., data snooping, ex post selection of trading rules or search technologies, and difficulties in estimation of risk and transaction costs. Future research must address these deficiencies in testing in order to provide conclusive evidence on the profitability of technical trading strategies.
Book Synopsis The Cost of Foreign Exchange Intervention by : Gustavo Adler
Download or read book The Cost of Foreign Exchange Intervention written by Gustavo Adler and published by International Monetary Fund. This book was released on 2016-04-12 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The accumulation of large foreign asset positions by many central banks through sustained foreign exchange (FX) intervention has raised questions about its associated fiscal costs. This paper clarifies conceptual issues regarding how to measure these costs both from an ex-post and an ex-ante (relevant for decision making) perspective, and estimates both marginal and total costs for 73 countries over the period 2002-13. We find ex-ante marginal costs for the median emerging market economy (EME) in the inter-quartile range of 2-5.5 percent per year; while ex-ante total costs (of sustaining FX positions) in the range of 0.2-0.7 percent of GDP per year for light interveners and 0.3-1.2 percent of GDP per year for heavy interveners. These estimates indicate that fiscal costs of sustained FX intervention (via expanding central bank balance sheets) are not negligible.
