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 …

forecasting accuracy and then perform a structural exercise focused on the effect of a monetary policy shock on the macroeconomy …. Results show that BVARs estimated on the basis of hundred variables perform well in forecasting and are suitable for …

model forecast should become the benchmark for forecasting horse races. We compare the real-time forecasting accuracy of the … forecasting models is efficient. Our second finding is that there is no single best forecasting method. For example, typically … simple AR models are most accurate at short horizons and DSGE models are most accurate at long horizons when forecasting …

This paper considers Bayesian regression with normal and double exponential priors as forecasting methods based on …

statistical benchmarks, and revisit the forecasting performance of changes in commodity currencies as efficient predictors of … least squares (PLS) regression to extract dynamic factors from the data set. Our forecasting analysis considers ten …

forecasting power for exchange rates. Using one year of high frequency data collected via a live feed from Reuters for three major …

response analysis, and the model as a whole to be an economically and statistically superior forecasting tool over relatively …