premia contains valuable information for forecasting future spot exchange rates and that exchange rate dynamics display non …-linearities. This Paper proposes a term-structure forecasting model of exchange rates based on a regime-switching vector equilibrium …

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …

index and to evaluate the role of financial variables in forecasting. We considered two models which allow forecasting based … univariate methods for forecasting inflation at one, three, six, and twelve months and industrial production at one and three … months. We find that financial variables do help forecasting inflation, but do not help forecasting industrial production. …

This Paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

spread helps in forecasting output and the structural evidence on the difficulties of estimating the effect of monetary … forecasting equation improves the forecasting performance of the spread for future output but the coefficients on the short rate … into an expectations-related component and a term premium allows a better understanding of the forecasting model. In fact …

and easy-to-use forecasting methods such as the no-change forecast. This does not mean that there is no useful information …

This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework … forecasting performance of two crucial modelling choices, i.e. the imposition of no-arbitrage restrictions and the size of the … information set used to extract factors. Using US yield curve data, we find that: a. macro factors are very useful in forecasting …