000	02121nam  2200337za 4500
001	9.837137
003	CaOODSP
005	20221107151051
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008	170523s2017    oncd    ob   f000 0 eng d
040	|aCaOODSP|beng
041	|aeng|bfre
043	|an-cn---
086	1 |aFB3-5/2017-19E-PDF
100	1 |aForoni, Claudia.
245	10|aAssessing the predictive ability of sovereign default risk on exchange rate returns |h[electronic resource] / |cby Claudia Foroni, Francesco Ravazzolo and Barbara Sadaba.
260	|a[Ottawa] : |bBank of Canada, |c2017.
300	|aii, 37 p. : |bcol. charts
490	1 |aBank of Canada staff working paper, |x1701-9397 ; |v2017-19
500	|a"May 2017."
504	|aIncludes bibliographical references (20-22).
520	3 |a“Increased sovereign credit risk is often associated with sharp currency movements. Therefore, expectations of the probability of a sovereign default event can convey important information regarding future movements of exchange rates. In this paper, we investigate the possible pass-through of risk in the sovereign debt markets to currency markets by proposing a new risk premium factor for predicting exchange rate returns based on sovereign default risk. We compute it from the term structure at different maturities of sovereign credit default swaps and conduct an out-of-sample forecasting exercise to test whether we can improve upon the benchmark random walk model. Our results show that the inclusion of the default risk factor improves the forecasting accuracy upon the random walk model at short forecasting horizons"--Abstract, p. ii.
546	|aIncludes abstract in French.
692	07|2gccst|aCapital markets
692	07|2gccst|aExchange rates
692	07|2gccst|aStatistical analysis
700	1 |aRavazzolo, Francesco.
700	1 |aSadaba, Barbara.
710	2 |aBank of Canada.
830	#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2017-19|w(CaOODSP)9.806221
856	40|qPDF|s2.70 MB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-19-eng.pdf