Joint research unit 7235

Exchange rate predictive densities and currency risks: A quantile regression approach

Niango Ange Joseph Yapi

We investigate the ability of the Fama equation to compute proper conditional densities and currency risks. Based on quantile regressions, we fit a Skewed t-distribution to estimate the conditional densities on the monetary policy of eight currency pairs. We demonstrate that the conditional densities are highly sensitive to the monetary policy stances. Then, we use the estimated conditional densities to measure the currency risks. Our results highlight that the depreciation/appreciation risks are extremely heterogeneous and that the currencies are more exposed to depreciation risks, especially during turmoils. Our findings can be used as a supplementary tool to assess whether a currency behaves as a safe-haven currency. We also investigate the relative and absolute performance of our model in forecasting densities. We find that the predictive densities are perfectly well-calibrated. Moreover, our results also demonstrate that our methodology can outperform the random walk in forecasting densities.

AGENDA

Monday 27 June 2022

Law, Institutions and Economics in Nanterre (LIEN)

Miriam Buiten (St Gallen Univ)

En distanciel à 11H30

From intermediaries to moderators of the internet: Should online platforms be liable?

Monday 27 June 2022

Law, Institutions and Economics in Nanterre (LINK)

Miriam Buiten (St Gallen Univ)

En distanciel à 11H30

From intermediaries to moderators of the internet: Should online platforms be liable?

Thursday 30 June 2022

Doctorants

Zoltán Szücs | Gagnie Pascal Yebarth

Salle 401-402

Le rôle de la police municipale dans la satisfaction des attentes de la population parisienne en termes de tranquillité publique | Politiques publiques et externalités dans les jeux stratégiques de marché

Thursday 30 June 2022

PhD students

Zoltán Szücs | Gagnie Pascal Yebarth

Salle 401-402

Le rôle de la police municipale dans la satisfaction des attentes de la population parisienne en termes de tranquillité publique | Politiques publiques et externalités dans les jeux stratégiques de marché

Friday 1 July 2022

Colloques et Workshops

9th Workshop on Economic Analysis of Litigation

Friday 1 July 2022

Colloques et Workshops

9th Workshop on Economic Analysis of Litigation

Monday 4 July 2022

Colloques et Workshops

Joint Webinar on Environment and Health in Seaport Cities

Monday 4 July 2022

Colloques et Workshops

Webinar conjoint sur l’environnement et la santé dans les villes maritimes

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