2004 to 2012, we find strong evidence that the forecasts for developing countries are biased at all forecast horizons. For … increases again at the 24-month horizon. Based on the magnitude of the forecast errors and the direction of change, long … forecast horizon …

over the period 1973-2011, this article finds that both the factor model and its PPP and TR fundamentals augmented models …

performed using both single equation estimation and VAR approaches. The forecast horizons used were from 1 to 12 quarters. None …

forecast future exchange rate movements, following the idea in Engel, Mark, and West (2015). Instead of using the standard …, with or without including macroeconomic fundamentals …

Engel and West (2005) model log exchange rates as discounted log fundamentals. For ‘commodity currencies', commodity … prices are often viewed as key fundamentals, implying that commodity prices should, therefore, be predicted by exchange rates …

The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real … constructed, considering forecast horizons of 1 to 22 steps head. The study finds that no forecast gains over a simple AR(1 …) specification exist at any of the forecast horizons that are considered, regardless of whether point or density forecasts are …

Consider forecasting the economic variable Y_{t h} with predictors X_{t}, where h is the forecast horizon. This paper … introduces a semiparametric method that generates forecast intervals of Y_{t h}|X_{t} from point forecast models. First, the … point forecast model is estimated, thereby taking advantage of its predictive power. Then, nonparametric estimation of the …

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be …