yields predicts risk premia in both short-term interest rates and exchange rates at return-forecasting horizons of up to six … months for all (but one) countries and currencies in our sample. Our single forecasting factor loads positively on the short …

; (iv) newer generation Phillips curve models with several time-varying features are a promising avenue for forecasting …

become tighter. We use quantile regression and the skewed t-distribution and evaluate the forecasting properties of models …

reversion and assume that relative prices are unchanged. Direct forecasting or panel data techniques are better than the random …

relative to other predictors generally improving in the post-2012 period. An out-of-sample forecasting exercise indicates that …, when monetary and credit aggregates are loaded directly in the forecasting equation, the additional gains over the … and credit variables in forecasting inflation, even if their information content is diluted in a much broader pool of …

provide more robust forecasts. We investigate this issue for forecasts from a range of short-term forecasting models. Our …