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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
Many studies have pointed out that the underlying relations and functions for the monetary model (e.g. the PPP relation, the money-demand function, monetary policy rule, etc.) have undergone parameter instabilities and that the relation between exchange rates and macro fundamentals is unstable...
Persistent link: https://www.econbiz.de/10011048479
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Exchange rates and individual good's price misalignment: Evidence of long-horizon predictability
Dong, Wei; Nam, Deokwoo - In: Journal of International Money and Finance 32 (2013) C, pp. 611-636
Although purchasing-power-parity fundamentals, in general, have only weak predictability, currency misalignment may be …
Persistent link: https://www.econbiz.de/10011048523
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Forecasting exchange rates out-of-sample with panel methods and real-time data
Ince, Onur - In: Journal of International Money and Finance 43 (2014) C, pp. 1-18
This paper evaluates out-of-sample exchange rate forecasting with Purchasing Power Parity (PPP) and Taylor rule fundamentals for 9 OECD countries vis-à-vis the U.S. dollar over the period from 1973:Q1 to 2009:Q1 at short and long horizons. In contrast with previous work, which reports...
Persistent link: https://www.econbiz.de/10011048511
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Measuring the dollar–euro permanent equilibrium exchange rate using the unobserved components model
Chen, Xiaoshan; MacDonald, Ronald - In: Journal of International Money and Finance 53 (2015) C, pp. 20-35
This paper employs an unobserved component model that incorporates a set of economic fundamentals to obtain the Euro–Dollar permanent equilibrium exchange rates (PEER) for the period 1975Q1 to 2008Q4. The results show that for most of the sample period, the Euro–Dollar exchange rate closely...
Persistent link: https://www.econbiz.de/10011263952
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Early warning systems for currency crises: A multivariate extreme value approach
Cumperayot, Phornchanok; Kouwenberg, Roy - In: Journal of International Money and Finance 36 (2013) C, pp. 151-171
We apply extreme value theory to assess the tail dependence between three currency crisis measures and 18 economic indicators commonly used for predicting crises. In our pooled sample of 46 countries in the period 1974–2008, we find that nearly all pairs of variables are asymptotically...
Persistent link: https://www.econbiz.de/10011048441
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Real exchange rate fluctuations and the relative importance of nontradables
Ouyang, Alice Y.; Rajan, Ramkishen S. - In: Journal of International Money and Finance 32 (2013) C, pp. 844-855
The real exchange rate is one of the most important price variables in macroeconomics as changes in it have implications for both external competitiveness as well as internal sectoral resource allocation. This paper decomposes real exchange rate volatility into its two components for a panel of...
Persistent link: https://www.econbiz.de/10010594680
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Taylor rules and exchange rate predictability in emerging economies
Galimberti, Jaqueson K.; Moura, Marcelo L. - In: Journal of International Money and Finance 32 (2013) C, pp. 1008-1031
present-value forward-looking specification shows strong evidence of exchange rate predictability. …
Persistent link: https://www.econbiz.de/10010594691
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What drives currency predictability?
Potì, Valerio; Siddique, Akhtar - In: Journal of International Money and Finance 36 (2013) C, pp. 86-106
In this paper, we study predictability of exchange rates and explore determinants of its dynamics over time. We model … the admissible amount of predictability in two ways, each corresponding in a stylized manner to a broad class of rational … the former class of models but little evidence against the latter, except that predictability itself is predictable. Our …
Persistent link: https://www.econbiz.de/10011048444
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Generating currency trading rules from the term structure of forward foreign exchange premia
Sager, Michael; Taylor, Mark P. - In: Journal of International Money and Finance 44 (2014) C, pp. 230-250
The quality of an exchange rate forecasting model has typically been judged relative to a random-walk in terms of out-of-sample forecast errors. The difficulty of outperforming this benchmark is well documented, although Clarida and Taylor have demonstrated how the random walk can be beaten in...
Persistent link: https://www.econbiz.de/10010800895
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Chronicle of currency collapses: Re examining the effects on output
Bussière, Matthieu; Saxena, Sweta C.; Tovar, Camilo E. - In: Journal of International Money and Finance 31 (2012) 4, pp. 680-708
The impact of currency collapses (i.e. large nominal depreciations or devaluations) on real output remains unsettled in the empirical macroeconomic literature. This paper provides new empirical evidence on this relationship using a dataset for 108 emerging and developing economies over the...
Persistent link: https://www.econbiz.de/10010869442