The asymptotic distributions of the recursive out-of-sample forecast accuracy test statistics depend on stochastic integrals of Brownian motion when the models under comparison are nested. This often complicates their implementation in practice because the computation of their asymptotic...

In this paper we provide new insights on the dynamics between monetary policy shocks and real exchange rates in small open economies using a time-varying structural vector autoregression model with stochastic volatility. Identification is achieved using a combination of short-run and long-run...

In this paper we provide new insights on the dynamics between monetary policy shocks and realexchange rates in small open economies using a time-varying structural vector autoregressionmodel with stochastic volatility. Identification is achieved using a combination of short-runand long-run...