The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated … rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates … magnitude of portfolio drawdowns. -- exchange rate forecasting ; forecast evaluation ; conditioners ; quantitative models …

-established inference apparatus based on the generalised method of moments estimation technique. In an empirical application using data from …

matrix and averages model estimates across all data releases. Using standard forecasting and policy models to analyze … monetary authorities' reaction functions, we show that this simple method can improve forecasting performance and provide … high macroeconomic uncertainty. -- monetary policy ; Taylor rule ; real-time data ; great moderation ; forecasting …

The use of large datasets for macroeconomic forecasting has received a great deal of interest recently. Boosting is one … forecasting a wide range of macroeconomic variables. Moreover, we analyse to what extent its forecasting accuracy depends on the … commonly used information criteria. -- macroeconomic forecasting ; component-wise boosting ; large datasets ; variable …

forecasting work. We plan to regularly publish the weekly consumption tracker in the future, thereby complementing the database …

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability …. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …