Oil Strikes Back: Trend Factors and Exchange Rates
研究发现石油趋势因子能比随机游走模型更好地预测汇率回报，基于该因子的动态交易策略在发达和新兴市场均能产生超额经济价值。
Abstract A well‐known puzzle in international finance is that, to predict exchange rate returns, existing predictive models often perform worse than the naive random walk (RW) model. In this paper, we construct an oil trend factor which performs better than the RW model. More importantly, an oil‐trend‐based dynamic trading strategy can generate superior economic values. This result holds in both developed and emerging markets, with different forecasting horizons, with different specifications of trend factors, and across different currencies. Finally, we explore the economic link for the powerful predictability of the oil trend factor.