Nowcasting of Short-Run Euro-Dollar Exchange Rate with Economic Fundamentals and Time-Varying Parameters

This paper nowcasts the Euro-Dollar short-run exchange rate by using a MF-TVP-FAVAR model.We adopt a flexible modelling approach that adjusts for structuralbreaks in the data and money demand instability; it also prevents information loss due to variablesbeing quoted at mixed frequencies. We estimate our model by combining procedures proposed bySchorfheide and Song (2015), Koop and Korobilis (2014), and Mariano and Murasawa (2003). Ourresults indicate that the specified model outperforms the random walk and other structural modelsat all forecasting horizons

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Year of publication:	2022
Authors:	Yemba, Boniface ; Otunuga, Olesegun Michael ; Tang, Biyan ; Biswas, Nabaneeta
Publisher:	[S.l.] : SSRN
Subject:	Wechselkurs \| Exchange rate \| US-Dollar \| US dollar \| Euro \| Prognoseverfahren \| Forecasting model \| EU-Staaten \| EU countries \| Theorie \| Theory

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