This article analyses the behaviour of the brazilian exchange rate (Real/US dollar) and the corresponding values forecasted by the market agents, from 2001 (november) to 2004 (may). We use the data-base of the Brazilian Central Bank, called “Sistema de Expectativas de Mercado”, which has...

During the Arab banks-summit in Paris last June 2008, the project of monetary integration in the Maghreb (Algeria, Libya, Morocco, Mauritania and Tunisia) was discussed again. Yet, many efforts have been undertaken to reinforce the completion of the regional integration process in this part of...

This is a summary of the paper entitled : “The Mean Squared Prediction Error Paradox”. In that paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of...

This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

This study applies portfolio balance theory in forecasting exchange rate. The study further argues for the need to account for the role of Global Financial Cycle (GFCy). As such, the first stage of the analysis is estimate a GFCy model and obtain the idiosyncratic shock. Next, we use the results...

In this paper we show that the Chilean exchange rate has the ability to predict the returns of the London Metal Exchange Index and of the six primary non-ferrous metals that are part of the index: aluminum, copper, lead, nickel, tin and zinc. The economic relationship hinges on the present-value...

In the financial as well as managerial decision making process, forecasting is a crucial element (Majhi et al, 2009). Most research have been made on forecasting of financial and economic variables through the help of researchers in the last decades using series of fundamental and technical...

In this paper we show that survey-based-expectations about the future evolution of the Chilean exchange rate have the ability to predict the returns of the six primary non-ferrous metals: aluminum, copper, lead, nickel, tin and zinc. Predictability is also found for returns of the London Metal...

We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...

This paper considers the extent to which the application of neural networks methodology can be used in order to forecast exchange-rate shocks. Four major foreign currency exchange rates against the Greek Drachma as well as the overnight interest rate in the Greek market are employed in an...