Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk /
When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk-in terms of the conditional variance of expected profits from the interest...
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| Andre forfattere: | |
| Format: | Tidsskrift |
| Sprog: | English |
| Udgivet: |
Washington, D.C. :
International Monetary Fund,
1999.
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| Serier: | IMF Working Papers; Working Paper ;
No. 1999/016 |
| Online adgang: | Full text available on IMF |
| Summary: | When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk-in terms of the conditional variance of expected profits from the interest rate arbitrage portfolio-appropriately measured when the basket weights are time-varying? Answers to these questions are provided within a time-varying parameter modeling framework estimated through the Kalman filter. An empirical application is devoted to the experience of the Thai baht currency basket (January 1992-February 1997). |
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| Emne beskrivelse: | <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required |
| Fysisk beskrivelse: | 1 online resource (30 pages) |
| Format: | Mode of access: Internet |
| ISSN: | 1018-5941 |
| Adgang: | Electronic access restricted to authorized BRAC University faculty, staff and students |