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Taylor rules and exchange rate predictability in emerging economies

Galimberti, Jaqueson K.; Moura, Marcelo L. - In: Journal of International Money and Finance 32 (2013) C, pp. 1008-1031

This study demonstrates the relationship between exchange rate determination and an endogenous monetary policy represented by Taylor rules. We fill a gap in the literature by focusing on a group of fifteen emerging economies that adopted free-floating exchange rates and inflation targeting...

Persistent link: https://www.econbiz.de/10010594691

Learning to forecast the exchange rate: Two competing approaches

De Grauwe, Paul; Markiewicz, Agnieszka - In: Journal of International Money and Finance 32 (2013) C, pp. 42-76

This paper compares two competing approaches to model foreign exchange market participants' behavior: statistical learning and fitness learning. These learning mechanisms are applied to a set of predictors: chartist and fundamentalist rules. We examine which of the learning approaches is best in...

Persistent link: https://www.econbiz.de/10010594667

Exchange rates and individual good's price misalignment: Evidence of long-horizon predictability

Dong, Wei; Nam, Deokwoo - In: Journal of International Money and Finance 32 (2013) C, pp. 611-636

-sample forecasting regressions for almost all goods in our data increase with the forecast horizon for the bilateral exchange rates …

Persistent link: https://www.econbiz.de/10011048523

Early warning systems for currency crises: A multivariate extreme value approach

Cumperayot, Phornchanok; Kouwenberg, Roy - In: Journal of International Money and Finance 36 (2013) C, pp. 151-171

We apply extreme value theory to assess the tail dependence between three currency crisis measures and 18 economic indicators commonly used for predicting crises. In our pooled sample of 46 countries in the period 1974–2008, we find that nearly all pairs of variables are asymptotically...

Persistent link: https://www.econbiz.de/10011048441

The multiscale causal dynamics of foreign exchange markets

Bekiros, Stelios; Marcellino, Massimiliano - In: Journal of International Money and Finance 33 (2013) C, pp. 282-305

determination of the optimal decomposition level and a wavelet-based forecasting approach. Overall, there is no indication of a …

Persistent link: https://www.econbiz.de/10010636239

Forecasting exchange rates out-of-sample with panel methods and real-time data

Ince, Onur - In: Journal of International Money and Finance 43 (2014) C, pp. 1-18

This paper evaluates out-of-sample exchange rate forecasting with Purchasing Power Parity (PPP) and Taylor rule …

Persistent link: https://www.econbiz.de/10011048511

Generating currency trading rules from the term structure of forward foreign exchange premia

Sager, Michael; Taylor, Mark P. - In: Journal of International Money and Finance 44 (2014) C, pp. 230-250

The quality of an exchange rate forecasting model has typically been judged relative to a random-walk in terms of out …

Persistent link: https://www.econbiz.de/10010800895

Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market

Jordan, Steven J.; Vivian, Andrew; Wohar, Mark E. - In: Journal of International Money and Finance 41 (2014) C, pp. 95-109

We explore whether economic links via trade affect aggregate Chinese stock market returns. We find that market return indices from countries that China net imports from can forecast the Chinese aggregate market return at the weekly time horizon. The stock returns of countries that China net...

Persistent link: https://www.econbiz.de/10010743972

Exchange rate forecasts and expected fundamentals

Dick, Christian D.; MacDonald, Ronald; Menkhoff, Lukas - In: Journal of International Money and Finance 53 (2015) C, pp. 235-256

Using a large panel of individual professionals' forecasts, this paper demonstrates that good exchange rate forecasts are related to a proper understanding of fundamentals, specifically good interest rate forecasts. This relationship is robust to individual fixed effects and further controls....

Persistent link: https://www.econbiz.de/10011263948

Short-run forecasting of the euro-dollar exchange rate with economic fundamentals

Dal Bianco, Marcos; Camacho, Maximo; Perez Quiros, Gabriel - In: Journal of International Money and Finance 31 (2012) 2, pp. 377-396

importantly, encouraging out-of-sample forecasting results at horizons ranging from one-week to one month. Specifically, we obtain … statistically significant improvements upon the hard-to-beat random-walk model using traditional statistical measures of forecasting … more economic relevance than other loss measures. With this measure, our model performs much better at all forecasting …

Persistent link: https://www.econbiz.de/10010573208

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