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The Predictive Ability of Several Models of Exchange Rate Volatility

West, Kenneth D. - 1994

We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more...

Persistent link: https://www.econbiz.de/10012474328

Exchange Rate Models Are Not as Bad as You Think

Engel, Charles - 2007

, as the models imply. We demonstrate that the models might well be able to account for observed exchange-rate volatility …, we show that out-of-sample forecasting power of models can be increased by focusing on panel estimation and long …

Persistent link: https://www.econbiz.de/10012465332

Monetary Policy and the Volatility of Real Exchange Rates in New Zealand

West, Kenneth D. - 2004

assumptions, interest rates can be adjusted to smooth real exchange rate movements at the possible price of increased volatility … accomplish suggest that decreasing real exchange rate volatility by about 25% would require increasing output volatility by about … 10-15%, inflation volatility by about 0-15% and interest rate volatility by about 15-40% …

Persistent link: https://www.econbiz.de/10012468413

A Utility Based Comparison of Some Models of Exchange Rate Volatility

West, Kenneth D. - 1992

When estimates of variances are used to make asset allocation decisions, underestimates of population variances lead to lower expected utility than equivalent overestimates: a utility based criterion is asymmetric, unlike standard criteria such as mean squared error. To illustrate how to...

Persistent link: https://www.econbiz.de/10012474761

Factor Model Forecasts of Exchange Rates

Engel, Charles - 2012

We construct factors from a cross section of exchange rates and use the idiosyncratic deviations from the factors to forecast. In a stylized data generating process, we show that such forecasts can be effective even if there is essentially no serial correlation in the univariate exchange rate...

Persistent link: https://www.econbiz.de/10012460277

Taylor Rules and the Deutschmark-Dollar Real Exchange Rate

Engel, Charles - 2004

We explore the link between an interest rate rule for monetary policy and the behavior of the real exchange rate. The interest rate rule, in conjunction with some standard assumptions, implies that the deviation of the real exchange rate from its steady state depends on the present value of a...

Persistent link: https://www.econbiz.de/10012467692

NBER International Seminar on Macroeconomics 2012

Giavazzi, Francesco (contributor); … - International Seminar on Macroeconomics <35, 2012, Oslo> - 2013

Persistent link: https://www.econbiz.de/10010253680

A Standard Monetary Model and the Variability of the Deutschemark-DollarExchange Rate

West, Kenneth D. - 1986

This paper uses a novel teat to see whether the Herse (1985) and Woo (1985) models are consistent with the variability of the deutschemark - dollar exchange rate 1974-1984. The answer, perhaps surprisingly, is yes. Both models, however, explain the month to month variability as resulting in a...

Persistent link: https://www.econbiz.de/10012476967

Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference

Clark, Todd E. - 2005

We consider using out-of-sample mean squared prediction errors (MSPEs) to evaluate the null that a given series follows a zero mean martingale difference against the alternative that it is linearly predictable. Under the null of no predictability, the population MSPE of the null "no change"...

Persistent link: https://www.econbiz.de/10012467602

Exchange Rates and Fundamentals

Engel, Charles - 2004

We show analytically that in a rational expectations present value model, an asset price manifests near random walk behavior if fundamentals are I(1) and the factor for discounting future fundamentals is near one. We argue that this result helps explain the well known puzzle that fundamental...

Persistent link: https://www.econbiz.de/10012467971