Similar Search Results - EconBiz

The out-of-sample success of term structure models as exchange rate predictors : a step beyond

Clarida, Richard H.; Sarno, Lucio; Taylor, Mark P.; … - In: Journal of international economics 60 (2003) 1, pp. 61-83

Persistent link: https://www.econbiz.de/10001754209

The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors : A Step Beyond

Clarida, Richard H.; Sarno, Lucio; Taylor, Mark P.; … - 2021

A large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate. However, there is evidence that the term structure of forward premia contains valuable information for forecasting...

Persistent link: https://www.econbiz.de/10013220936

Non-linear mean reversion in real exchange rates : towards a solution to the purchasing power parity puzzles

Taylor, Mark P. - 2001

Persistent link: https://www.econbiz.de/10013423283

The out-of-sample success of term structure models as exchange rate predictors : a step beyond

Clarida, Richard H.; Sarno, Lucio; Taylor, Mark P.; … - 2002

Persistent link: https://www.econbiz.de/10013423845

The role of speculation in the forward exchange market : some consistent estimates assuming rational expectations

Taylor, Mark P. - In: Oxford bulletin of economics and statistics 49 (1987) 3, pp. 323-333

Persistent link: https://www.econbiz.de/10001035192

The term structure of forward exchange premia and the forecastability of spot exchange rates : correcting the errors

Clarida, Richard H. - 1993

Persistent link: https://www.econbiz.de/10000874096

The term structure of forward foreign exchange premia : the inter-war experience

MacDonald, Ronald - In: The Manchester School of Economic and Social Studies 58 (1990) 1, pp. 54-65

Persistent link: https://www.econbiz.de/10001135891

Expectations, risk and uncertainty in the foreign exchange market : some results based on survey data

Taylor, Mark P. - In: The Manchester School of Economic and Social Studies 57 (1989) 2, pp. 142-153

Persistent link: https://www.econbiz.de/10001067906

A dynamic model of forward foreign exchange risk, with estimates for three major exchange rates

Taylor, Mark P. - In: The Manchester School of Economic and Social Studies 56 (1988) 1, pp. 55-68

Persistent link: https://www.econbiz.de/10001076675

The term structure of forward exchange rates and the forecastability of spot exchange rates : correcting the errors

Clarida, Richard H.; Taylor, Mark P. - 1992

Persistent link: https://www.econbiz.de/10000845274

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