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

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Monetary fundamentals and exchange rate dynamics under different nominal regimes

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Comparing the accuracy of density forecasts from competing models

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Exchange rates and fundamentals : evidence on the economic value of predictability

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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