Sarno, Lucio; Valente, Giorgio - C.E.P.R. Discussion Papers - 2008
Using novel real-time data on a broad set of economic fundamentals for five major US dollar exchange rates over the … recent float, we employ a predictive procedure that allows the relationship between exchange rates and fundamentals to evolve … content in the fundamentals; (ii) the difficulty of selecting the best predictive model is largely due to frequent shifts in …