References of "Ferreira Filipe, Sara 50001781"
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See detailWhat Drives Exchange Rates? Reassessing Currency Return Predictability
Ferreira Filipe, Sara UL; Maio, Paulo

E-print/Working paper (2015)

We compute a variance decomposition for the log exchange rate based on a present-value relation. At long horizons, return predictability drives the variation in the exchange rate while predictability of ... [more ▼]

We compute a variance decomposition for the log exchange rate based on a present-value relation. At long horizons, return predictability drives the variation in the exchange rate while predictability of future interest rate differentials plays a secondary role. At shorter horizons, the dominant source is predictability of the future spot rate. There is more return predictability and less interest spread and exchange rate predictability in the case of real exchange rates compared to nominal exchange rates. An alternative decomposition based on a first-order VAR tends to overstate the importance of predictability of future interest spreads and exchange rates. [less ▲]

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See detailForecasting Distress in European SME Portfolios
Ferreira Filipe, Sara UL; Grammatikos, Theoharry UL; Michala, Dimitra UL

E-print/Working paper (2014)

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See detailCurrency Carry Trades and Funding Risk
Ferreira Filipe, Sara UL; Suominen, Matti UL

E-print/Working paper (2013)

In this paper, we measure currency carry trade funding risk using stock market volatility and crash risk in Japan, the main funding currency country. We show that the measures of funding risk in Japan can ... [more ▼]

In this paper, we measure currency carry trade funding risk using stock market volatility and crash risk in Japan, the main funding currency country. We show that the measures of funding risk in Japan can explain 42% of the monthly currency carry trade returns during our sample period, 2000-2011. In addition, they explain 64% of the monthly foreign exchange volatility in our sample of ten main currencies, 28% of the speculators' net currency futures positions in Australian dollar versus Japanese yen, skewness in currency returns and currency crashes. We present a theoretical model that is consistent with these findings. [less ▲]

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See detailEquity Order Flow and Exchange Rate Dynamics
Ferreira Filipe, Sara UL

in Journal of Empirical Finance (2012)

Detailed reference viewed: 66 (3 UL)