Posts Tagged ‘monedas

14
Sep
11

Fun & Finance: #14, Charla sobre Mercado

En esta ocasión, German le ofrece a Gaston un pantallazo como mirar las conexiones dentro del mercado financiero.

Siempre mejor en HD.

No se olviden de LIKE THIS !!

28
Jun
11

Gráfico du Jour: SDRs… quién lo hubiera dicho

(Fuente: UBS, via FT Alphaville)

04
Dec
10

Gráfico du Jour: Europa, correlación en las monedas

(Fuente: Bloomberg, via FT Alphaville)

12
Nov
10

Video: Currency Rap (USA & China)

24
Oct
10

Gráfico du Jour: Monedas vs. Oro

(Fuente: Pacifica Partners, via Forex Blog)

07
Oct
10

Guerra de Monedas

Forex Blog tiene un entretenido post sobre la Guerra de Monedas (o de Bancos Centrales, como quieran). Rescato el infograma (de Der Siegel) que incluyó el autor.

 

29
Sep
10

Paper: Monedas y retornos

Countercyclical Currency Risk Premia

Abstract:
Currency excess returns are predictable, more than stock returns, and about as much as bond returns. The average forward discount of the dollar against developed market currencies is the best predictor of average foreign currency excess returns earned by U.S. investors on a long position in a large basket of foreign currencies and a short position in the dollar. The predicted excess returns on baskets of foreign currency are strongly counter-cyclical because they inherit the cyclical properties of the average forward discount. This counter-cyclical dollar risk premium compensates U.S. investors for taking on U.S.-specific risk in foreign exchange markets by shorting the dollar. Macroeconomic variables such as the rate of U.S. industrial production growth increase the predictability of average foreign currency excess returns even when controlling for the forward discount.

Link al Paper

27
Sep
10

Paper: Burgernomics

THE BIG MAC INDEX TWO DECADES ON AN EVALUATION OF BURGERNOMICS
The Big Mac Index, introduced by The Economist magazine more than two decades ago, claims to provide the “true value” of a large number of currencies. This paper assesses the economic value of this index. We show that (i) the index suffers from a substantial bias; (ii) once the bias is allowed for, the index tracks exchange rates reasonably well over the medium to longer term in accordance with relative purchasing power parity theory; (iii) the index is at least as good as the industry standard, the random walk model, in predicting future currency values for all but shor tterm horizons; and (iv) future nominal exchange rates are more responsive than prices to currency mispricing. While not perfect, at a cost of less than $US10 per year, the index seems to provide good value for money.
Link al Paper
11
Jul
10

Paper: Una Crónica de Colapsos

Chronicle of currency collapses: re-examining the effects on output

Abstract:

The impact of currency collapses (ie large nominal depreciations or devaluations) on real output remains unsettled in the empirical macroeconomic literature. This paper provides new empirical evidence on this relationship using a dataset for 108 emerging and developing economies for the period 1960-2006. We provide estimates of how these episodes affect growth and output trend. Our main finding is that currency collapses are associated with a permanent output loss relative to trend, which is estimated to range between 2% and 6% of GDP. However, we show that such losses tend to materialise before the drop in the value of the currency, which suggests that the costs of a currency crash largely stem from the factors leading to it. Taken on its own (ie ceteris paribus) we find that currency collapses tend to have a positive effect on output. More generally, we also find that the likelihood of a positive growth rate in the year of the collapse is over two times more likely than a contraction; and that positive growth rates in the years that follow such episodes are the norm. Finally, we show that the persistence of the crash matters, ie one-time events induce exchange rate and output dynamics that differ from consecutive episodes.

Link al Paper

29
Jun
10

¿inversor o trader de moneda?

Adam Kritzer, en un post en Forex Blog, plantea muy bien los diferentes horizontes temporales que manejan los inversores y los traders (en este caso de moneda), haciendo foco en el Euro.

(…)

But seriously, currency traders must adapt to the zero-sum nature of forex markets by shortening their time horizon. Stock market investors, on the other hand, are not bound by this constraint. In fact, by holding stocks for a long enough time period, investors can actually turn this into an advantage.

(…)

Simply, currencies fluctuate. Since its introduction 10 years ago, the Euro has fallen, then risen, then fallen, then risen, then fallen again to its current level. If you initially invested in Europe 2 years ago, the exchange rate would erode your returns if you tried to sell now. If you invested 5 years ago, you would break even. If you invested 10 years ago, you would come out ahead. In the end, it’s only a question of perspective. Still, if you maintain your positions for long enough, either you will break-even from the exchange rate or it will only marginally affect your returns (on an annualized basis).

(…)

In short, unless you deliberately want to speculate on exchange rates, don’t worry about them! If your investing horizon is long enough, their fluctuations will neither help nor hurt you in a meaningful way.




Fun & Finance

Vimeo

Fun & Finance Rollover

Contacto

informes@qfclub.com.ar
"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

Powered by

July 2020
M T W T F S S
 12345
6789101112
13141516171819
20212223242526
2728293031  

Categorias

Archivo

Ingrese su dirección de email para suscribirse a este blog y recibir las notificaciones de nuevos posts via email

Join 34 other followers

Web Analytics Clicky