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How well do monetary fundamentals forecast exchange rates?

Neely, Christopher J.; Sarno, Lucio - In: Review / Federal Reserve Bank of St. Louis 84 (2002) 5, pp. 51-74

Persistent link: https://www.econbiz.de/10001782553

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

Empirical exchange rate models and currency risk : some evidence density forecasts

Sarno, Lucio; Valente, Giorgio - In: Journal of international money and finance 24 (2005) 2, pp. 363-385

Persistent link: https://www.econbiz.de/10002636012

Federal funds rate prediction

Sarno, Lucio (contributor); Thornton, Daniel L. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001971188

How well do monetary fundamentals forecast exchange rates?

Neely, Christopher J. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001971215

Comparing the accuracy of density forecasts from competing models

Sarno, Lucio; Valente, Giorgio - In: Journal of forecasting 23 (2004) 8, pp. 541-557

Persistent link: https://www.econbiz.de/10002494582

Federal funds rate prediction

Sarno, Lucio; Thornton, Daniel L.; Valente, Giorgio - In: Journal of money, credit and banking : JMCB 37 (2005) 3, pp. 449-471

Persistent link: https://www.econbiz.de/10003012690

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

Abhyankar, Abhay; Sarno, Lucio; Valente, Giorgio - In: Journal of international economics 66 (2005) 2, pp. 325-348

Persistent link: https://www.econbiz.de/10002961971

Modelling and forecasting stock returns : exploiting the futures market, regime shifts and international spillovers

Sarno, Lucio; Valente, Giorgio - In: Journal of applied econometrics 20 (2005) 3, pp. 345-376

Persistent link: https://www.econbiz.de/10002807207

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