This paper presents a dynamic model averaging approach for forecasting nominal exchange rates, which is a novel approach in exchange rate forecasting literature. This framework encompasses most of the approaches commonly used in the forecasting literature. We focus on nine major trading currency...

This paper presents a common trend VAR model, which allows us to estimate trend and cyclical components of output, inflation, and interest rate. From a theoretical perspective, we build upon the consumption Euler equation, which implies that there exists a cointegration relation between the...

This paper presents a dynamic model averaging approach for forecasting nominal exchange rates, which is a novel approach in exchange rate forecasting literature. This framework encompasses most of the approaches commonly used in the forecasting literature. We focus on nine major trading currency...