This paper proposes a simple chartist-fundamentalist model in which we allow for nonlinear time variation in chartists’ extrapolation rate. Estimation of the model using monthly data for the major currencies vis-a-vis the US dollar shows that the model is significant in-sample and that it has out-of-sample predictive power for some of the currencies. We investigate the power of tests of the ran...

Traditional autocorrelation and variance ratio tests are based on serial uncorrelatedness rather than martingale difference. As such, they do not capture potential nonlinearity-in-mean behavior, which could lead to misleading inferences in favor of the martingale hypothesis. This paper employs various parametric and nonparametric nonlinear models as well as several model comparison criteria to ...

The goal of this paper is to equip the investor with the tools and understanding necessary to evaluate managed currencies’ investments in a meaningful way. It is shown that managed currency funds might exhibit a common factor because most of the trading managers use similar technical forecasts to trigger their positions in the financial markets. Therefore, a dynamic benchmark is built, based on...

On Jan. 1, 1999 the European Union introduced a common currency Euro (EUR), to become the legal currency in all eleven countries which form the EUR. In order to test the EUR behavior and understand various features, the EUR exchange rate is artificially extrapolated back to 1993 by a linear superposition of the exchange rates of the 11 currencies composing EUR with respect to several currencies...

An important feature of the international nancial system is that it overwhelmingly uses a major currency, such as the US dollar, as a vehicle in the exchange between other currencies. In this paper we construct an equilibrium model to study this feature. The model economy has a nite number of countries, and each country's goods are sold only for the country's own currency. Households obtain for...

This paper explores the potential of corporate monies (including electronic payment systems, non-banks and new forms of money), which we term corporafinance, supported by the capabilities of electronic commerce infrastructures that provides competition in the financial sector. The paper draws upon parallels from the industrial revolution, and the structures that emerged, as well as the evolutio...

This paper focuses on the theory of uncovered interest rate parity and whether interest-rate differentials have resulted in the higher interest rate currency depreciating over time. Previous literature has empirically rejected the theory indicating that higher interest rate currencies have actually appreciated relative to lower interest rate currencies. In this paper, uncovered interest rate pa...

This paper investigates the extreme dependence and risk spillovers between Bitcoin currencies of BRICS G7 economies. We find time-varying all currencies. Moreover, when analysing from to currencies, we that exercises significant power over most with South African rand Brazilian real holding both highest downside upside before during COVID-19 pandemic period, respectively. When considering towar...