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Point, interval and density forecasts of exchange rates with time-varying parameter models
Abbate, Angela; Marcellino, Massimiliano - 2016
We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...
Persistent link: https://www.econbiz.de/10011489395
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Forecasting exchange rates : the time-varying relationship between exchange rates and Taylor rule fundamentals
Haskamp, Ulrich - 2017
literature was found to have promising forecasting abilities, it is possible to further improve the performance if the … coefficient adjustment. With this calibration of the Kalman filter model the short-term out-ofsample forecasting accuracy can be …
Persistent link: https://www.econbiz.de/10011700704
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Exchange rate forecasting on a napkin
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
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Event-Related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices
Hanke, Michael - 2020
Betting quotes provide valuable information on market-implied probabilities for outcomes of events like elections or referendums, which may have an impact on exchange rates. We generate exchange rate forecasts around such events based on a model that combines risk-neutral event probabilities...
Persistent link: https://www.econbiz.de/10012854895
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Assessing the predictive ability of sovereign default risk on exchange rate returns
Foroni, Claudia; Ravazzolo, Francesco; Sadaba, Barbara - 2017
structure at different maturities of sovereign credit default swaps and conduct an out-of-sample forecasting exercise to test … improves the forecasting accuracy upon the random walk model at short forecasting horizons. …
Persistent link: https://www.econbiz.de/10011646738
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Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data
De Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary economics 7 (2013) 1, pp. 19-32
walk model suggests that the forecasting performance of the monetary model is superior. …
Persistent link: https://www.econbiz.de/10009770376
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Three methods of forecasting currency crises : which made the run in signaling the South African currency crisis of June 2006?
Knedlik, Tobias (contributor); Scheufele, Rolf (contributor) - 2007
which method made the run in forecasting the June 2006 currency crisis is: the Markovswitching approach, since it called …
Persistent link: https://www.econbiz.de/10003613014
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Do oil prices and exchange rates affect the US stock market? : new evidence from the asymmetric cointegration approach
Panagiotis, Rafailidis; Constantinos, Katrakilidis - In: Bulletin of applied economics 8 (2022) 2, pp. 147-161
Persistent link: https://www.econbiz.de/10013271161
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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 …
Persistent link: https://www.econbiz.de/10011585089
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Fundamental determinants of exchange rate expectations
Beckmann, Joscha; Czudaj, Robert - 2022
This paper provides a new perspective on the exchange rate disconnect puzzle by referring to the expectations building mechanism in foreign exchange markets. We analyze the role of expectations regarding macroeconomic fundamentals for expected exchange rate changes. In doing so, we assess...
Persistent link: https://www.econbiz.de/10012990178