In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...

This paper evaluates aggregated survey forecasts with forecast horizons of 3, 12, and 24 months for the exchange rates of the Chinese yuan, the Hong Kong dollar, the Japanese yen, and the Singapore dollar vis-à-vis the US dollar using common forecast accuracy measures. Additionally, the...

Some recent studies suggest the post-Bretton Woods period offers a sample that is far too short to reveal any significant evidence on purchasing power parity reversion in individual series of real exchange rates. This study shows that the post-Bretton Woods data contain substantial information...

In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...

This paper focuses on the cross-dynamics of exchange rate expectations over different time-scales. We use over-the-counter currency options on the euro, Japanese yen, and British pound vis-à-vis the U.S. dollar to extract expected probability density functions of future exchange rates, and...

We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...

When nontraded goods prices are accounted for consistently and genuine stock data on bilateral foreign asset holdings is employed, a modified sticky-price exchange rate model by far outperforms the benchmark random walk-model in empirically forecasting the D-mark/dollar parity out of sample....