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Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts

Rossi, Barbara; Sekhposyany, Tatevik - Barcelona Graduate School of Economics (Barcelona GSE) - 2014

This paper proposes a framework to implement regression-based tests of predictive ability in unstable environments, including, in particular, forecast unbiasedness and efficiency tests, commonly referred to as tests of forecast rationality. Our framework is general: it can be applied to...

Persistent link: https://www.econbiz.de/10011019694

Forecasting in nonstationary environments: What works and what doesn't in reduced-form and structural models

Giacomini, Raffaella; Rossi, Barbara - Department of Economics and Business, Universitat … - 2014

This review provides an overview of forecasting methods that can help researchers forecast in the presence of non …

Persistent link: https://www.econbiz.de/10011250937

Out-of-sample forecast tests robust to the choice of window size

Rossi, Barbara; Inoue, Atsushi - Federal Reserve Bank of Philadelphia - 2011

This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the … choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over … application shows the usefulness of the methodologies for evaluating exchange rate models' forecasting ability. …

Persistent link: https://www.econbiz.de/10009216229

Forecast Optimality Tests in the Presence of Instabilities

Rossi, Barbara; Sekhposyan, Tatevik - Duke University, Department of Economics - 2011

forecast unbiasedness, efficiency, encompassing, serial uncorrelation, and, in general, regression-based tests of forecasting …

Persistent link: https://www.econbiz.de/10009276946

Exchange rate predictability

Rossi, Barbara - Department of Economics and Business, Universitat … - 2013

article provides a critical review of the recent literature on exchange rate forecasting and illustrates the new methodologies …

Persistent link: https://www.econbiz.de/10010849598

Exchange Rate Predictability

Rossi, Barbara - Barcelona Graduate School of Economics (Barcelona GSE) - 2013

article provides a critical review of the recent literature on exchange rate forecasting and illustrates the new methodologies …

Persistent link: https://www.econbiz.de/10010711783

The changing relationship between commodity prices and equity prices in commodity exporting

Rossi, Barbara - Department of Economics and Business, Universitat … - 2012

We explore the linkage between equity and commodity markets, focusing in particular on its evolution over time. We document that a country's equity market value has significant out-of-sample predictive ability for the future global commodity price index for several primary commodity-exporting...

Persistent link: https://www.econbiz.de/10010718621

Can Oil Prices Forecast Exchange Rates?

Ferraro, Domenico; Rogoff, Ken; Rossi, Barbara - Barcelona Graduate School of Economics (Barcelona GSE) - 2015

We show the existence of a very short-term relationship at the daily frequency between changes in the price of a country's major commodity export price and changes in its nominal exchange rate. The relationship appears to be robust and to hold when we use contemporaneous (realized) commodity...

Persistent link: https://www.econbiz.de/10011118618

Can oil prices forecast exchange rates?

Ferraro, Domenico; Rogoff, Ken; Rossi, Barbara - Department of Economics and Business, Universitat … - 2011

Persistent link: https://www.econbiz.de/10011122324

Exchange Rate Predictability

Rossi, Barbara - C.E.P.R. Discussion Papers - 2013

article provides a critical review of the recent literature on exchange rate forecasting and illustrates the new methodologies …

Persistent link: https://www.econbiz.de/10011084576