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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

Conventional and unconventional approaches to exchange rate modeling and assessment

Alquist, Ron; Chinn, Menzie D. - 2006

We examine the relative predictive power of the sticky price monetary model, uncovered interest parity, and a transformation of the net exports variable. In addition to bringing a new approach (utilizing our measure of external imbalance suggested by Gourinchas and Rey) and data spanning a more...

Persistent link: https://www.econbiz.de/10010285332

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

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

External Imbalances, Valuation Adjustments and Real Exchange Rate : Evidence of Predictability in an Emerging Economy

Pincheira, Pablo - 2012

In this paper we provide evidence of exchange rate predictability for a selected emerging market economy (EME) at … exchange rate predictability has mainly focused on developed economies, leaving relatively unexplored the question for EME. By … predictability reflects the fact that the external balance's importance to the exchange rate has risen in recent years and/or the …

Persistent link: https://www.econbiz.de/10013110990

A systematic comparison of professional exchange rate forecasts with judgmental forecasts of novices: Are there substantial differences?

Schmidt, Robert; Leitner, Johannes - 2004

The study at hand deals with the expectations of professional analysts and novices in the context of foreign exchange markets. We analyze the respective forecasting accuracy and our results indicate that there exist substantial differences between professional forecasts and judgmental forecasts...

Persistent link: https://www.econbiz.de/10010296526

Biases of professional exchange rate forecasts: Psychological explanations and an experimentally based comparison to novices

Leitner, Johannes; Schmidt, Robert; Bofinger, Peter - 2003

The empirical performance of macroeconomic exchange rate models is more than disappointing. This dismal result is also reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve random walk forecasts. The root for this deficient...

Persistent link: https://www.econbiz.de/10010305737

Biases of professional exchange rate forecasts : psychological explanations and an experimentally based comparison to novices

Leitner, Johannes; Schmidt, Robert; Bofinger, Peter - 2003

Persistent link: https://www.econbiz.de/10001900767

Rationality and Forecasting Accuracy of Exchange Rate Expectations : Evidence from Survey-Based Forecasts

Ince, Onur - 2019

We examine rationality, forecasting accuracy, and economic value of the survey-based exchange rate forecasts for 10 developed and 23 developing countries at the 3-, 12-, and 24-month horizons. Using the data from two surveys for the period from 2004 to 2012, we find strong evidence that the...

Persistent link: https://www.econbiz.de/10012903718

Analyst Forecasts and Currency Markets

Mair, Florian - 2021

I examine the forecasting performance, directional accuracy, rationality and economic value of analyst forecasts and characteristics of investment portfolios built from these forecasts for 30 currency pairs from 2006 to 2020. My results show that analyst forecasts perform worse than forecasts...

Persistent link: https://www.econbiz.de/10013245904