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Panel data tests of return models with applications to global stock returns

Hjalmarsson, Erik - 2005

Persistent link: https://www.econbiz.de/10003553376

Ca'Zorzi, Michele; Rubaszek, Michał - 2018

reversion and assume that relative prices are unchanged. Direct forecasting or panel data techniques are better than the random …

Persistent link: https://www.econbiz.de/10011856403

Can a relative purchasing power parity-based model outperform a random walk in forecasting short-term exchange rates?

Simpson, Marc W.; Grossmann, Axel - In: International journal of finance & economics : IJFE 16 (2011) 4, pp. 375-392

Persistent link: https://www.econbiz.de/10009508870

Understanding forecast failure of ESTAR models of real exchange rates

Buncic, Daniel - 2009 - This Version : July 23, 2009

The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample eval-uation period of nearly 12 years. Point as well as density forecasts are constructed, considering forecast horizons of 1 to 22...

Persistent link: https://www.econbiz.de/10011523710

Timely measurement of real effective exchange rates

Darvas, Zsolt M. - 2021

We demonstrate that short-run real exchange effective rate changes are dominated by nominal effective exchange rate changes, while inflation rates are sticky and contribute little to short-run real exchange rate changes. These observations allow a rather accurate real-time approximation of the...

Persistent link: https://www.econbiz.de/10013184685

Population age structure and real exchange rates in the OECD

Andersson, Andreas; Österholm, Pär - In: International economic journal 20 (2006) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10003348061

Real exchange rates and fundamentals : robustness across alternative model specifications

Adler, Konrad; Grisse, Christian - 2014

This paper explores the robustness of behavioural equilibrium exchange rate (BEER) models, focusing on a panel … to (1) the combination of explanatory variables included in the model, (2) the set of currencies included in the panel … predicted by economic theory. By contrast, several macroeconomic variables commonly thought to be linked to real exchange rates …

Persistent link: https://www.econbiz.de/10010495246

Exchange rate forecasting on a napkin

Ca'Zorzi, Michele; Rubaszek, Michał - In: Journal of international money and finance 104 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012395198

Forecasting exchange rates and relative prices with the hamburger standard : is what you want what you get with Mcparity?

Cumby, Robert - 1996

Persistent link: https://www.econbiz.de/10000598110

Forecasting Exchange Rates and Relative Prices with the Hamburger Standard : Is What You Want What You Get with Mcparity?

Cumby, Robert - 2021

A decade ago the Economist began an annual survey of Big Mac prices as a guide to whether currencies are trading at the right exchange rates. This paper asks how well the hamburger standard has performed. Although average deviations from absolute Big Mac parity are large for several currencies,...

Persistent link: https://www.econbiz.de/10013220795