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Can Oil Prices Forecast Exchange Rates?
Ferraro, Domenico; Rogoff, Kenneth S.; Rossi, Barbara - 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, the authors find little systematic relation between oil prices and the exchange rate at the monthly and...
Persistent link: https://www.econbiz.de/10014178173
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Out-of-Sample Forecast Tests Robust to the Choice of Window Size
Rossi, Barbara - 2011
choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over …
Persistent link: https://www.econbiz.de/10013121687
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Exchange Rate Predictability
Rossi, Barbara - In: Journal of Economic Literature 51 (2013) 4, pp. 1063-1119
The main goal of this article is to provide an answer to the question: does anything forecast exchange rates, and if so … choice of predictor, forecast horizon, sample period, model, and forecast evaluation method. Predictability is most apparent …
Persistent link: https://www.econbiz.de/10010815459