estimates. We formally test the forecast performance of pooled vs. heterogeneous estimators over a hold-back period and find …

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 …

there is a clear trade-off between storytelling and forecast accuracy. The PPP model offers little economic insights, but …

there is a clear trade-off between storytelling and forecast accuracy. The PPP model offers little economic insights, but …

learning, dimensionality reduction, forecast combination and amalgamation approaches. Our results highlight the predictive …

Forecasting exchange rate movements is extremely difficult. While the usual forecast requires determining the size and … sign of change, we investigate if the direction of change alone is easier to forecast. The accuracy rate of monthly … forecast errors, Binary response variable models such as logit and probit do not seem to improve the accuracy of directional …

This paper analyzes the role of uncertainty on both exchange rate expectations and forecast errors of professionals for … Bayesian VAR approach, we observe that effects on forecast errors of professionals turn out to be more significant compared to …

-sample results, these largely reflect finite-sample estimation biases, Adjusting for these biases, there is little evidence of …

causes non-cointegrated relation between real and nominal MNT exchange rates. The historical decomposition of forecast error …