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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

How Sure Are We About PPP? Panel Evidence with the Null of Stationary Real Exchange Rates

Kuo, Biing-Shen; Mikkola, Anne - C.E.P.R. Discussion Papers - 1999

There has been serious suspicion of a spurious rejection of the unit roots in panel studies of PPP due to the failure …

Persistent link: https://www.econbiz.de/10005661753

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

Commodity prices, commodity currencies, and global economic developments

Groen, Jan J. J.; Pesenti, Paolo - C.E.P.R. Discussion Papers - 2010

In this paper we seek to produce forecasts of commodity price movements that can systematically improve on naive statistical benchmarks, and revisit the forecasting performance of changes in commodity currencies as efficient predictors of commodity prices, a view emphasized in the recent...

Persistent link: https://www.econbiz.de/10008530384

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

We propose an exchange rate model that can explain both the observed volatility and the persistence of real and nominal exchange rate movements and thus in some measure resolves Rogoff’s (1996) purchasing power parity puzzle. Our analysis reconciles the well-known difficulties in beating the...

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

Tariff Peaks in the Quad and Least Developed Country Exports

Hoekman, Bernard; Ng, Francis; Olarreaga, Marcelo - C.E.P.R. Discussion Papers - 2001

Although average tariffs in Quad markets are very low, tariff peaks and tariff escalation have a disproportional effect on exports from least developed countries (LDCs). Tariff peak products tend to be heavily concentrated in agriculture and food products and in labour-intensive sectors such as...

Persistent link: https://www.econbiz.de/10005497730

Trade Liberalisation and Poverty: What have we learned in a decade?

Martuscelli, Antonio; Winters, L. Alan - C.E.P.R. Discussion Papers - 2014

living. Working in the export predicts gains and in the import-competing sector losses, a finding that is re-inforced by …

Persistent link: https://www.econbiz.de/10011171782

Commodity Price Volatility and World Market Integration since 1700

Jacks, David S.; O'Rourke, Kevin Hjortshøj; … - C.E.P.R. Discussion Papers - 2009

-global policy has been associated with less commodity price volatility. Given specialization and comparative advantage … never been constant. Globalization increased poor country specialization in commodities when the world went open after the … price volatility or specialization dominates terms of trade and thus aggregate volatility in poor countries is thus …

Persistent link: https://www.econbiz.de/10005656266

On the Selection of Forecasting Models

Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2003

It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean squared error (PMSE) in simulated out-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information criteria (IC). We compare the asymptotic and...

Persistent link: https://www.econbiz.de/10005504404

Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?

Gürkaynak, Refet S.; Kisacikoglu, Burçin; Rossi, Barbara - C.E.P.R. Discussion Papers - 2013

Recently, it has been suggested that macroeconomic forecasts from estimated DSGE models tend to be more accurate out-of-sample than random walk forecasts or Bayesian VAR forecasts. Del Negro and Schorfheide(2013) in particular suggest that the DSGE model forecast should become the benchmark for...

Persistent link: https://www.econbiz.de/10011083411