TITLE:
Country-Level Indicators and Foreign Exchange Returns
AUTHORS:
Hongwei Zhai
KEYWORDS:
Foreign Exchange, Global Macro, Return Forecasting, Portfolio Management, China, Japan, Brazil
JOURNAL NAME:
Modern Economy,
Vol.14 No.11,
November
22,
2023
ABSTRACT: This study uses daily foreign exchange (FX) rate changes in China, Japan,
and Brazil from 2000 to 2022 to examine the
predictability of FX returns. I observe multiple Bloomberg signals with statistically significant return-forecasting
power to the FX returns. These signals can be divided into three groups:
macroeconomic, investor sentiment, and stock market related. This study adds to
the empirical understanding of how country-level economic indicators can
forecast FX returns.