Carriero, Andrea (contributor); … - 2008
produces systematically better forecasts than a random walk for most of the countries, and at any forecast horizon, including … this paper, we propose to forecast exchange rates with a large Bayesian VAR (BVAR), using a panel of 33 exchange rates vis …-a-vis the US Dollar. Since exchange rates tend to co-move, the use of a large set of them can contain useful information for …