October 2009
Introduction and Summary 1
1. GSDEER—Re-Estimation and Test-Based Adjustment 2
Thomas Stolper, Anna Stupnytska and Malachy Meechan
2. Using GSDEER to Trade Equities 14
Dominic Wilson and Roman Maranets
3. Measuring Global Output Gap Dispersion as a Guide for Relative Growth Strategies 18
Mark Tan
4. The Benefits of Investing in Portfolios of FX Currents 22
Themistoklis Fiotakis
5. Updating our Trade-Weighted Exchange Rates and Looking at the Real TWIs 27
Fiona Lake, Roman Maranets and Swarnali Ahmed
6. Empirical Links Between the Major Currencies and their BBoP Flows 32
Fiona Lake and Thomas Stolper
7. Over-fitting in Cross-Asset Proxy Baskets 37
Thomas Stolper
8. FX Volatility Still Looks Expensive Relative to Cyclical Factors 48