Ca' Zorzi, Michele; Kocięcki, Andrzej; Rubaszek, Michał - In: Economic Modelling 46 (2015) C, pp. 53-60
This paper assesses if a Bayesian VAR with a Dornbusch prior outperforms the random walk model in predicting real exchange rates. Our main contributions are twofold. First, from a methodological point of view we apply an innovative framework to estimate structural Bayesian VAR models. Second, we...