Giorgio Valente

Hong Kong Institute for Monetary Research
Hong Kong Monetary Authority
55/F Two International Finance Centre
Central, Hong Kong, China

E-Mail: gvalente@hkma.gov.hk
Institutional Affiliation: Hong Kong Institute for Monetary and Financial Research (HKIMR)

NBER Working Papers and Publications

April 2019Global Capital Flows Cycle: Impact on Gross and Net Flows
with J. Scott Davis, Eric van Wincoop: w25721
While prior to the global financial crisis the empirical international capital flow literature has focused on net capital flows (the current account), since the crisis there has been an increased focus on gross flows. In this paper we jointly analyze global drivers of gross flows (outflows plus inflows) and net flows (outflows minus inflows) by estimating a latent factor model. We find evidence of two global factors, which we call the GFC (global financial cycle) factor and commodity price factor as they closely track respectively the Miranda-Agrippino and Rey asset price factor and an average of oil and gas prices. These factors together account for half the variance of gross flows in advanced countries and forty percent of the variance of gross flows in emerging markets. But remarkably, ...
November 2001The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond
with Richard Clarida, Lucio Sarno, Mark Taylor: w8601
A large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate. However, there is evidence that the term structure of forward premia contains valuable information for forecasting future spot exchange rates and that exchange rate dynamics display nonlinearities. This paper proposes a term-structure forecasting model of exchange rates based on a regime-switching vector equilibrium correction model which is novel in this context. Our model significantly outperforms both a random walk and a linear term-structure vector equilibrium correction model for four major dollar rates across a range of horizons.

Published: Clarida, Richard H. & Sarno, Lucio & Taylor, Mark P. & Valente, Giorgio, 2003. "The out-of-sample success of term structure models as exchange rate predictors: a step beyond," Journal of International Economics, Elsevier, vol. 60(1), pages 61-83, May. citation courtesy of

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