cointegration when parameters are constant, but strong evidence when allowing for time variation. The implications are that in …

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … this paper, we propose to forecast exchange rates with a large Bayesian VAR (BVAR), using a panel of 33 exchange rates vis … produces systematically better forecasts than a random walk for most of the countries, and at any forecast horizon, including …