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Regime Shifts and the Stability of Backward Looking Phillips Curves in Open Economies

Castelnuovo, Efrem - Society for Computational Economics - SCE - 2004

In this paper we assess the stability of open economy backward looking Phillips curves estimated across two different exchange rate regimes. The time series we deal with come from the simulation of a New-Keynesian hybrid model suited for performing monetary policy analysis. The statistical...

Persistent link: https://www.econbiz.de/10005345284

Evaluating non-linear models on point and interval forecasts: an application with exchange rate returns

Boero, G.; Marrocu, E. - Centro Ricerche Nord Sud (CRENoS) - 2001

The aim of this paper is to compare the forecasting performance of SETAR and GARCH models against a linear benchmark … evaluation of point forecasts is conducted over distinct subsamples or specific regimes there is more evidence of forecasting …

Persistent link: https://www.econbiz.de/10005049497

La performance di modelli non lineari per i tassi di cambio: un'applicazione con dati a diversa frequenza

Boero, G.; Marrocu, E. - Centro Ricerche Nord Sud (CRENoS) - 2000

financial variables. The aim of this work is to compare the forecasting performance of different models for the returns of some … counterparts. Although we find evidence of some forecasting gains from nonlinear models, the results are sensitive to the forecast … horizon and to the metric adopted to measure the forecasting accuracy. The use of data at different frequencies allows us to …

Persistent link: https://www.econbiz.de/10005049521

Public Debt Tipping Point Studies Ingnore How Exchange Rate Changes May Create A Financial Meltdowns

Pope, Robin; Selten, Reinhard - University of Bonn, Germany - 2012

The public debt may hamper US GDP say studies that estimate debt tipping effects as if there were a single world currency. This means that such studies ignore the likely biggest cause of changes in growth rates, namely damage from exchange rate liquidity shocks because we do not live in the...

Persistent link: https://www.econbiz.de/10009393853

Comparing the Accuracy of Density Forecasts from Competing Models

Sarno, Lucio; Valente, Giorgio - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005706641

Exchange Rates and Fundamentals: Is there a Role for Nonlinearities in Real Time?

Aksoy, Yunus; Akdogan, Kurmas - Society for Computational Economics - SCE - 2006

We examine out of sample predictive power of real time monetary models with nonlinear adjustment in forecast errors for the Pound Sterling/US Dollar exchange rates. Real time revisions of U.K. and U.S. monetary aggregates and output are significant. By studying recursive out of sample forecast...

Persistent link: https://www.econbiz.de/10005537456

Exchange Rate Predictability

Rossi, Barbara - Barcelona Graduate School of Economics (Barcelona GSE) - 2013

article provides a critical review of the recent literature on exchange rate forecasting and illustrates the new methodologies …

Persistent link: https://www.econbiz.de/10010711783

Can Oil Prices Forecast Exchange Rates?

Ferraro, Domenico; Rogoff, Ken; Rossi, Barbara - Barcelona Graduate School of Economics (Barcelona GSE) - 2015

We show the existence of a very short-term relationship at the daily frequency between changes in the price of a country's major commodity export price and changes in its nominal exchange rate. The relationship appears to be robust and to hold when we use contemporaneous (realized) commodity...

Persistent link: https://www.econbiz.de/10011118618