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Based on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125,2005), we analyzed whether the loss function of a sample of exchange rate forecasters is asymmetric in the forecast error. Using forecasts of the euro/dollar exchange rate, we found that the shape of the loss...
Persistent link: https://www.econbiz.de/10010420846
Using forecasts of the Brazilian real and the Mexican peso, we analyze the shape of the loss function of exchange-rate forecasters and the rationality of their forecasts. We find a substantial degree of cross-sectional heterogeneity with respect to the shape of the loss function. While some...
Persistent link: https://www.econbiz.de/10010420853
Purpose – In this paper, six forms of non-linear Taylor rule have been applied to compare the fitting and prediction of response function of monetary policy of China, in an attempt to figure out a form of non-linear Taylor rule that accords with Chinese practices. The paper aims to discuss...
Persistent link: https://www.econbiz.de/10014694727
economy gradually, then order flow can have both explanatory and forecasting power for exchange rates. Using one year of high …
Persistent link: https://www.econbiz.de/10005481452
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Using forecasts of exchange rates of the Brazilian real and the Mexican peso against the US dollar, we analyze the symmetry of the loss function of exchange-rate forecasters and the rationality of their forecasts. Symmetry of the loss function can be rejected for some forecasters but not all....
Persistent link: https://www.econbiz.de/10011117251
forecasting models reduces forecast errors compared with a single model. …
Persistent link: https://www.econbiz.de/10010903380
A quantitative check of efficiency in US dollar/Deutsche mark exchange rates is developed using high-frequency (tick by tick) data. The antipersistent Markov behavior of log-price fluctuations of given size implies, in principle, the possibility of a statistical forecast. We introduce and...
Persistent link: https://www.econbiz.de/10010874815
forecasting exchange rate after measuring the extent of volatility. The present study is a unique contribution in the existing …
Persistent link: https://www.econbiz.de/10014881760