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Fundamentals, forecast combinations and nominal exchange-rate predictability

Wu, Jyh-Lin; Wang, Yi-Chiuan - In: International Review of Economics & Finance 25 (2013) C, pp. 129-145

This paper investigates the out-predictability of fundamentals and forecast combinations. By adopting a panel … different fundamentals under consideration in out-of-sample contests. It provides strong evidence to out-predict the random walk … statistical significance of beating the random walk. Third, combining forecasts from different fundamentals that have relatively …

Persistent link: https://www.econbiz.de/10010588163

Stock Prices and the Exchange Rate in a Monetary Model: A ARDL Bounds Testing Approach Using South African Data

Dube, Smile - In: The African Finance Journal 10 (2008) 1, pp. 1-27

We investigate the empirical validity of the monetary model of the exchange rate (Rand/Dollar=ZAR/$ ) using a technique (ARDL Bounds test) capable of testing for the existence of a long-run relationship regardless of whether the underlying time series are individually I(I) or I(0). Monetary...

Persistent link: https://www.econbiz.de/10008503566

Exchange rate predictability and a monetary model with time-varying cointegration coefficients

Park, Cheolbeom; Park, Sookyung - In: Journal of International Money and Finance 37 (2013) C, pp. 394-410

between exchange rates and macro fundamentals is unstable due to the shift in the economic models in foreign exchange traders … relationship between exchange rates and monetary fundamentals. Furthermore, we demonstrate that deviations between the exchange … rate and fundamentals from the time-varying cointegration relation have strong predictive power for future changes in …

Persistent link: https://www.econbiz.de/10011048479

Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data

De Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary economics 7 (2013) 1, pp. 19-32

co-integrating relationship between the nominal exchange rate and monetary fundamentals forms the basis of the monetary … and the monetary fundamentals as the channel for the adjustment process of deviations from the long-run equilibrium …

Persistent link: https://www.econbiz.de/10009770376

Tracking the Euro

Koen, Vincent; Boone, Laurence; de Serres, Alain; … - 2001

proliferated ranging from fundamentals such as differences in growth prospects to psychological factors such as herd behaviour, but …

Persistent link: https://www.econbiz.de/10012446955

Real exchange rate determination: Empirical observations from East-Asian countries

Miyakoshi, Tatsuyoshi - In: Empirical Economics 28 (2003) 1, pp. 173-180

In this paper the models for the real exchange rate determination are re-examined between Japan and five East-Asian countries. Two important findings are reported. First, the real interest rate-bias model is valid for Korea-, Malaysia-, Indonesia-, and Philippines-Japan, and the...

Persistent link: https://www.econbiz.de/10005758344

Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices

Bofinger, Peter; Leitner, Johannes; Schmidt, Robert - C.E.P.R. Discussion Papers - 2004

The empirical performance of macroeconomic exchange rate models is more than disappointing. This dismal result is also reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve random walk forecasts. The root for this deficient...

Persistent link: https://www.econbiz.de/10005504428

The Behaviour of the Real Exchange Rate: A Re-examination Using Finite Sample Approach

Kuo, Biing-Shen; Mikkola, Anne - C.E.P.R. Discussion Papers - 1997

The results of this paper complement the recent findings of real exchange rates as stationary processes. The standard procedure of applying a battery of unit root tests can be problematic since the tests are sensitive to the specifics of the time-series process. The novelty of the approach we...

Persistent link: https://www.econbiz.de/10005504540

Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?

Kilian, Lutz; Taylor, Mark P - C.E.P.R. Discussion Papers - 2001

reconciles the well-known difficulties in beating the random walk forecast model with the statistical evidence of nonlinear mean … reversion in deviations from fundamentals. Our analysis also provides a compelling rationale for the long-horizon predictability … chartist methods in favor of models based on economic fundamentals. …

Persistent link: https://www.econbiz.de/10005124271

Tracking the Euro

Koen, Vincent; Boone, Laurence; Serres, Alain de; … - Economics Department, Organisation de Coopération et … - 2001

proliferated ranging from fundamentals such as differences in growth prospects to psychological factors such as herd behaviour, but …

Persistent link: https://www.econbiz.de/10005045928