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Conditional forecast selection from many forecasts: An application to the Yen/Dollar exchange rate
Kawakami, Kei - In: Journal of the Japanese and International Economies 28 (2013) C, pp. 1-18
forecasting models reduces forecast errors compared with a single model. …
Persistent link: https://www.econbiz.de/10010666012
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Forecasting China's foreign exchange reserves using dynamic model averaging: The roles of macroeconomic fundamentals, financial stress and economic uncertainty
Gupta, Rangan; Hammoudeh, Shawkat; Kim, Won Joong; … - In: The North American Journal of Economics and Finance 28 (2014) C, pp. 170-189
We develop models for examining possible predictors of growth of China's foreign exchange reserves that embrace Chinese and global trade, financial and risk (uncertainty) factors. Specifically, by comparing with other alternative models, we show that the dynamic model averaging (DMA) and dynamic...
Persistent link: https://www.econbiz.de/10010777014
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Crude oil prices and exchange rates: Causality, variance decomposition and impulse response
Brahmasrene, Tantatape; Huang, Jui-Chi; Sissoko, Yaya - In: Energy Economics 44 (2014) C, pp. 407-412
This paper examines the short-run and long-run dynamic relationship between the U.S. imported crude oil prices and exchange rates. The monthly data of the U.S. crude oil imports from five source countries during January 1996 and December 2009 are examined. Empirical results indicate that the...
Persistent link: https://www.econbiz.de/10011100126
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Taylor rules and exchange rate predictability in emerging economies
Galimberti, Jaqueson K.; Moura, Marcelo L. - In: Journal of International Money and Finance 32 (2013) C, pp. 1008-1031
This study demonstrates the relationship between exchange rate determination and an endogenous monetary policy represented by Taylor rules. We fill a gap in the literature by focusing on a group of fifteen emerging economies that adopted free-floating exchange rates and inflation targeting...
Persistent link: https://www.econbiz.de/10010594691
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Modelling Exchange Rate Returns Using Non-linear Models
Kumar, Manish - In: Margin: The Journal of Applied Economic Research 4 (2010) 1, pp. 101-125
Forecasting exchange rate movements is challenging, as they exhibit high volatility, complexity and noise. Most …
Persistent link: https://www.econbiz.de/10011136633
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Can Oil Prices Forecast Exchange Rates?
Ferraro, Domenico; Rogoff, Kenneth; Rossi, Barbara - C.E.P.R. Discussion Papers - 2011
This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...
Persistent link: https://www.econbiz.de/10009359490
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The unbeatable random walk in exchange rate forecasting: Reality or myth?
Moosa, Imad; Burns, Kelly - In: Journal of Macroeconomics 40 (2014) C, pp. 69-81
, estimation method or the forecasting horizon) outperform the random walk in out-of-sample forecasting if forecasting power is …
Persistent link: https://www.econbiz.de/10010777112
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Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data
De Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary economics 7 (2013) 1, pp. 19-32
walk model suggests that the forecasting performance of the monetary model is superior. …
Persistent link: https://www.econbiz.de/10009770376
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Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices
Bofinger, Peter; Leitner, Johannes; Schmidt, Robert - C.E.P.R. Discussion Papers - 2004
reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve … environment, we analyse the forecasting behaviour of students experimentally, using a simulated currency series. Our results … indicate that topically-oriented trend adjustment behaviour (TOTA) is a general characteristic of human forecasting behaviour …
Persistent link: https://www.econbiz.de/10005504428
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Oil prices and exchange rates in oil-exporting countries: evidence from TAR and M-TAR models
Mohammadi, Hassan; Jahan-Parvar, Mohammad - In: Journal of Economics and Finance 36 (2012) 3, pp. 766-779
Persistent link: https://www.econbiz.de/10010848224