forecast. In a stylized data generating process, we show that such forecasts can be effective even if there is essentially no … rates against 17 OECD countries. We forecast using factors, and using factors combined with any of fundamentals suggested by … improve on the forecast of a "no change" benchmark in the late (1999-2007) but not early (1987-1998) parts of our sample. …

This paper develops asymptotic econometric theory to help understand data generated by a present value model with a … discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that … theory is quantitatively congruent with modest departures from random walk behavior with imprecise estimation of a well …

forecast and one weighted by returns. Our preferred model generates economically meaningful returns on a portfolio of nine …

Forecast evaluation often compares a parsimonious null model to a larger model that nests the null model. Under the …

. This switch will vastly increase the value of the structural VAR literature for economic theory. …

This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not …