In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...

In this paper we show that the MSCI ACWI Metals and Mining Index has the ability to predict base metal prices. We use both in-sample and out-of-sample exercises to conduct such examination. The theoretical underpinning of these results relies on the present-value model for stock-price...

This paper investigates whether the exchange rate pass-through (ERPT) to CPI inflation is a nonlinear phenomenon for five heavily indebted euro area (EA) countries, namely the so-called GIIPS group (Greece, Ireland, Italy, Portugal, and Spain). Using logistic smooth transition models, we explore...

This paper investigates asymmetric exchange rate exposure on Indonesia industry’s stock returns in both (non)linear specifications and different setting in exchange rate regimes and sub-sample periods using the EGARCH model. The results reveal that negative exchange rate exposure dominates...

Conflict between economic interests of two or more countries can take place in the inflation prone floating exchange regime and thus affect monetary policies of each other. This paper has examined whether the exchange rates of the currencies of the industrial countries are affecting India’s...

This note illustrates a problem in purchasing power parity studies that test for stationarity of the real exchange rate. If the real rate series is constructed using price indexes then the real exchange rate may not be stationary even if the law of one price always holds for every good in the...

This article seeks an empirical evidence for the existence of the J-curve phenomenon both in the short-run and long-run for Turkey over the period 1980-2005. The bounds testing cointegration approach is employed to estimate the trade balance model. An augmented form of Granger causality analysis...

The study analyses comovement between the real effective exchange rate of South Africa and those of a sample of countries that include the world’s major economies as well as emerging and developing economies. The comovement is examined over the short and long term as well as pre and post the...

This study is basically explores the long run relationship between REER, IRD and Oil Prices, with the use of dummies and interaction terms for exchange rate regimes in Pakistan. By using Hatemi – J residual based cointegration test. Test has modified by including level shift, level shift with...

We show that long horizon forecasts from the nonlinear models that are considered in the study by Rapach andWohar (2006) cannot generate any forecast gains over a simple AR(1) specification. This is contrary to the findings reported in Rapach and Wohar (2006). Moreover, we illustrate graphically...