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...

Exchange rate activities have effects on capital flows and international trade that are crucial particularly for developing countries. The day of the week effect on exchange rates can also be very essential for portfolio managers and economists. Therefore, the day of the week effect should be...

Recent studies show that carry trade returns are predictable and this predictability reflects changes in expected returns. Changes in expected returns may be related to time variation in betas and risk prices. We investigate this issue in carry trades and find clear evidence of time-varying risk...

This paper investigates the importance of commodity prices to the returns of currency carry trade portfolios. We adopt a recently developed empirical factor model to capture commodity commonalities and heterogeneity. Agricultural material and metal price risk factors are found to have...

The aim of this study is to investigate how exchange rate affects the trade balance in developed countries such as Norway, by using Time Series Multivariate Forecasting techniques to test the correlation in the long run. Theoretically, low exchange rates have positive impact on trade balance....

This study examines the symmetric and asymmetric exchange rate exposures of Chinese automobile firms at different time horizons. Empirical findings reveal that firm returns are less likely to be affected by currency movements at short-term (daily) horizons due to restrictions on the currency...

Exchange rate has been managed to improve trade balance in many countries to increase economic growth. However, the relationship between exchange rate and trade balance is inconclusive both in the long-run and short-run. Thus, to improve trade balance effectively, the relationship needs to be...

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...