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Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model?

Westerlund, Joakim; Basher, Syed A. - 2006

A common explanation for the inability of the monetary model to beat the random walk in forecasting future exchange rates is that conventional time series tests may have low power, and that panel data should generate more powerful tests. This paper provides an extensive evaluation of this power...

Persistent link: https://www.econbiz.de/10015214577

Understanding forecast failure in ESTAR models of real exchange rates

Buncic, Daniel - 2009

The forecast performance of the empirical ESTAR model of Taylor et al. (2001) is examined for 4 bilateral real exchange … forecast gains over a simple AR(1) model exist at any of the forecast horizons that are considered, regardless of whether point … study shows that the non-linearity in the point forecasts of the ESTAR model decrease as the forecast horizon increases …

Persistent link: https://www.econbiz.de/10015215469

Understanding forecast failure of ESTAR models of real exchange rates

Buncic, Daniel - 2009

The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real … constructed, considering forecast horizons of 1 to 22 steps head. The study finds that no forecast gains over a simple AR(1 …) specification exist at any of the forecast horizons that are considered, regardless of whether point or density forecasts are …

Persistent link: https://www.econbiz.de/10015217744

Testing the Equilibrium Exchange Rate Model - Updated

Guilherme, Moura; Sergio, Da Silva - 2006

We find favorable evidence for the textbook equilibrium exchange rate model of Stockman (1987) using Blanchard and Quah’s (1989) decomposition. Real shocks are shown to account for more than 90 percent of movements in the real exchange rate between Brazil and the US, and for more than half of...

Persistent link: https://www.econbiz.de/10015219121

Exchange rate determination of TL/US$: a co-integration approach

Levent, Korap - 2008

exchange rate determination based on economic fundamentals, and then, construct an empirical model revealing both long …-integrated with the fundamentals suggested by economics theory. Besides, short-run deviations from the fundamental-based equilibrium …

Persistent link: https://www.econbiz.de/10015219822

Puzzle solver

Christian, Mueller-Kademann - 2009

This paper presents a model for asset markets with a subjectively rational solution for the price of the traded asset. Traders cannot act objectively rational and an increase in the number of traders does not enlarge the information set neccessary for determining the “true” price....

Persistent link: https://www.econbiz.de/10015219912

Exchange Rate Volatility and Non-Traditional Exports Performance: Zambia, 1965–1999

Musonda, Anthony - 2008

This study estimated an error correction model of the impact of real effective exchange rate volatility on the performance of non-traditional exports for Zambia between 1965 and 1999. Using a generalized autoregressive conditional heteroscedasticity (GARCH) measure of real exchange rate...

Persistent link: https://www.econbiz.de/10015224402

The Mean Squared Prediction Error Paradox: A summary

Pincheira, Pablo; Hardy, Nicolas - 2020

is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also …

Persistent link: https://www.econbiz.de/10015229363

Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate

Pincheira, Pablo; Jarsun, Nabil - 2020

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...

Persistent link: https://www.econbiz.de/10015229382

Currency Crises During the Great Recession: Is This Time Different?

Arduini, Tiziano; De Arcangelis, Giuseppe; Del Bello, … - 2011

in the relationship between fundamentals and exchange rates within an early-warning framework. This is done by extending ….e. early-warning systems based on traditional macroeconomic variables have not only failed to forecast currency crises during …

Persistent link: https://www.econbiz.de/10015230555