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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

Empirical exchange rate models of the nineties : are any fit to survive?

Cheung, Yin-Wong; Chinn, Menzie David; Garcia Pascual, … - 2003 - This Version: June, 2003

Previous assessments of forecasting performance of exchange rate models have focused upon a narrow set of models typically of the 1970's vintage. The canonical papers in this literature are by Meese and Rogoff (1983, 1988), who examined monetary and portfolio balance models. Succeeding works by...

Persistent link: https://www.econbiz.de/10011521412

Exchange rate predictability and state-of-the-art models

Yeşin, Pınar - 2016

This paper empirically evaluates the predictive performance of the International Monetary Fund's (IMF) exchange rate assessments with respect to future exchange rate movements. The assessments of real trade-weighted exchange rates were conducted from 2006 to 2011, and were based on three...

Persistent link: https://www.econbiz.de/10011443648

What do we know about recent exchange rate models? : in-sample fit and out-of-sample performance evaluated

Cheung, Yin-Wong; Chinn, Menzie David; Garcia Pascual, … - 2003

Previous assessments of nominal exchange rate determination have focused upon a narrow set of models typically of the 1970's vintage, including monetary and portfolio balance models. In this paper we re-assess the in-sample fit and out-of-sample prediction of a wider set of models that have been...

Persistent link: https://www.econbiz.de/10011521440

What do we know about recent exchange rate models? : in-sample fit and out-of-sample performance evaluated

Cheung, Yin-Wong; Chinn, Menzie David; Pascual, Antonio … - 2003

Previous assessments of nominal exchange rate determination have focused upon a narrow set of models typically of the 1970 s vintage, including monetary and portfolio balance models. In this paper we re-assess the in-sample fit and out-of-sample prediction of a wider set of models that have been...

Persistent link: https://www.econbiz.de/10011507659

Evaluation of exchange rate forecasts for the krona's nominal effective exchange rate

Degrér, Henrik; Hansen, Jan; Sellin, Peter - 2001

In this paper we evaluate the out of sample forecasting performance of a large number of models belonging to a popular class of exchange rate models. Forecasts of the Swedish nominal effective exchange rate for the period 1980-2000 are performed using both single equation estimation and VAR...

Persistent link: https://www.econbiz.de/10011585089

Exchange rate prediction redux : new models, new data, new currencies

Cheung, Yin-Wong; Chinn, Menzie David; Garcia Pascual, … - 2017

Previous assessments of nominal exchange rate determination, following Meese and Rogoff (1983) have focused upon a narrow set of models. Cheung et al. (2005) augmented the usual suspects with productivity based models, and "behavioral equilibrium exchange rate" models, and assessed performance...

Persistent link: https://www.econbiz.de/10011637474

Long Horizon Predictability of Exchange Rates : Is it for Real?

Groen, Jan J. - 1999

This paper reexamines recent results on the predictability of nominal exchange rate returns by means of fundamental …

Persistent link: https://www.econbiz.de/10014184338

Taylor Rule Deviations and Out-of-Sample Exchange Rate Predictability

Ince, Onur - 2019

The Taylor rule has become the dominant model for academic evaluation of out-of-sample exchange rate predictability …-of-sample predictability for eight exchange rates vis-à-vis the U.S. dollar, and find strong evidence in favor of the Taylor rule fundamentals … model alternative against the random walk null. The evidence of predictability is weaker with the Taylor rule differentials …

Persistent link: https://www.econbiz.de/10012904307

Predictable Movements in Yen/Dm Exchange Rates

Kong, Qingying Janet - 2021

This paper examines the relevance of PPP, the adjustment channel of real exchange rate and the predictability of the …

Persistent link: https://www.econbiz.de/10013317846