Browsing by Author "Thorsell, Philip"

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    Forecasting monthly LME Copper returns
    (2022-06-29) Lervik, Nils; Thorsell, Philip; University of Gothenburg/Graduate School; Göteborgs universitet/Graduate School
    We evaluate if monthly LOCADY returns on the London Metal Exchange can be accurately predicted one, two and three months ahead. In total ten models are constructed using time-varying parameters and bandwidth optimization. The models are evaluated against one another using the following pseudo-out-of sample test statistics: Diebold and Mariano (1995), Clark and West (2006), Giacomini and White (2006) and the Campbell and Thompson (2008) out-of-sample R2. The test statistics generated are inconsistent. A few models are able to generate positive out-of-sample R2 values for one and two month predictions. No model significantly outperforms a random walk for the three step ahead prediction.
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    The Carry Trade: From 1990 to 2020
    (2020-06-30) Bergin, Adam; Thorsell, Philip; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik; University of Gothenburg/Department of Business Administration; Göteborgs universitet/Företagsekonomiska institutionen
    This thesis examines the carry trade movements from 1990 to 2020. The purpose is to evaluate how an actively managed carry trade has behaved during different market conditions. There are two carry portfolios constructed, the first one is an American carry and the second one makes an active decision every month to invest in the largest interest rate differentials. The carry trades are based on nine currencies AUD, CHF, EUR, GBP, JPY, NOK, SEK, USD, and ZAR. The result finds evidence for violation of UIP and that the premium puzzle seems to be in line with findings of previous studies during some periods. During recent years, the study finds that the carry trades are less profitable, although the portfolio Best Carry of All is a viable complement to an investor’s portfolio, due to stable performance even during distressed market conditions.