monthly to daily observations on exchange rates. Thus the basic thrust of the paper is to analyse the forecasting accuracy of …

strongest when forecasting one step-ahead and that it diminishes as the forecast horizon increases. There exists, therefore, no … potential whatsoever for the considered nonlinear models to outperform linear ones when forecasting far ahead. We also …

the forecasting regression. We also present less formal evidence that, with real-time data, the Taylor rule provides a … specifications that do not include the real exchange rate in the forecasting regression, the results are robust to whether or not the … the forecasting regression. Bad news about inflation and good news about real economic activity both lead to out …