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Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data

De Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary economics 7 (2013) 1, pp. 19-32

walk model suggests that the forecasting performance of the monetary model is superior. …

Persistent link: https://www.econbiz.de/10009770376

Point, interval and density forecasts of exchange rates with time-varying parameter models

Abbate, Angela; Marcellino, Massimiliano - 2016

We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...

Persistent link: https://www.econbiz.de/10011489395

Forecasting exchange rates : the time-varying relationship between exchange rates and Taylor rule fundamentals

Haskamp, Ulrich - 2017

literature was found to have promising forecasting abilities, it is possible to further improve the performance if the … coefficient adjustment. With this calibration of the Kalman filter model the short-term out-ofsample forecasting accuracy can be …

Persistent link: https://www.econbiz.de/10011700704

The existence of uncovered interest parity in the CIS countries

Bhatti, Razzaque H. - In: Economic modelling 40 (2014), pp. 227-241

Persistent link: https://www.econbiz.de/10010425682

Individual foreign exchange investors, return predictability and market timing

Abuelfadl, Moustafa - In: Annals of financial economics 12 (2017) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011716026

Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals

Molodtsova, Tanya - 2019

An extensive literature that studied the performance of empirical exchange rate models following Meese and Rogoff's (1983a) seminal paper has not convincingly found evidence of out-of-sample exchange rate predictability. This paper extends the conventional set of models of exchange rate...

Persistent link: https://www.econbiz.de/10012893399

Exchange rate and oil price interactions in selected CEE countries

Drachal, Krzysztof - In: Economies : open access journal 6 (2018) 2, pp. 1-21

This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland, the Czech Republic, Hungary, Romania, and Serbia. The results are compared with a benchmark analysis in which U.S. monthly data are used, and time periods are selected according...

Persistent link: https://www.econbiz.de/10011854772

Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: test based on EUR/HUF option-implied densities

Csávás, Csaba (contributor) - 2008

rejection of forecasting ability. Our interpretation is that the standard deviation, the skewness and the kurtosis of the risk … central moments of subjective densities. -- Currency option ; implied risk-neutral density function ; density forecasting …

Persistent link: https://www.econbiz.de/10003721533

Point, Interval and Density Forecasts of Exchange Rates with Time-Varying Parameter Models

Abbate, Angela - 2016

Persistent link: https://www.econbiz.de/10012987883

A Reconsideration of the Meese-Rogoff Puzzle : An Alternative Approach to Model Estimation and Forecast Evaluation

Burns, Kelly - 2016

range of conventional and alternative measures of forecasting accuracy. The results demonstrate that incorporating …, estimating these models in state-space form substantially improves forecasting accuracy to the extent that the model and random …

Persistent link: https://www.econbiz.de/10012996977

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