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The predictive power of equilibrium exchange rate models

Ca'Zorzi, Michele; Cap, Adam; Mijakovic, Andrej; … - 2020

In this paper we evaluate the predictive power of the three most popular equilibrium exchange rate concepts: Purchasing Power Parity (PPP), Behavioral Equilibrium Exchange Rate (BEER) and the Macroeconomic Balance (MB) approach. We show that there is a clear trade-off between storytelling and...

Persistent link: https://www.econbiz.de/10012139745

Forecasting exchange rates using panel model and model averaging

Garratt, Anthony; Mise, Emi - In: Economic modelling 37 (2014), pp. 32-40

Persistent link: https://www.econbiz.de/10010416858

What drives commodity prices?

Chen, Shu-Ling; Jackson, John D.; Kim, Hyeongwoo; … - In: American journal of agricultural economics 96 (2014) 5, pp. 1455-1468

Persistent link: https://www.econbiz.de/10011279858

Exchange rate forecasting on a napkin

Ca'Zorzi, Michele; Rubaszek, Michał - In: Journal of international money and finance 104 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012395198

How many fundamentals should we include in the behavioral equilibrium exchange rate model?

Ca'Zorzi, Michele; Rubaszek, Michał - In: Economic modelling 118 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014229251

Growth and exchange rate volatility : a panel data analysis

Vieira, F. V.; Holland, M.; Gomes da Silva, Cleomar; … - In: Applied economics 45 (2013) 25/27, pp. 3733-3741

Persistent link: https://www.econbiz.de/10010345868

Do financial crises matter for nonlinear exchange rate and stock market cointegration? : a heterogeneous nonlinear panel data model with PMG approach

Tabash, Mosab I.; Sheikh, Umaid A.; Matar, Ali; Ahmed, Adel - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-22

the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency … recessionary period and the overall sampling time frame by utilizing the panel-based NARDL framework (PNARDL). The study suggests …

Persistent link: https://www.econbiz.de/10013545812

International investment positions and exchange rate dynamics

Binder, Michael; Offermanns, Christian J. - 2014

dynamic panel data models. In particular, in our model the long-run relationship between effective exchange rates and domestic …

Persistent link: https://www.econbiz.de/10010414236

Exchange rates dynamics revisited : a panel data test of the fractional integration order

Andersson, Fredrik N. G. - In: Empirical economics : a journal of the Institute for … 47 (2014) 2, pp. 389-409

Persistent link: https://www.econbiz.de/10010391171

Are exchange rates cointegrated with monetary model in panel data?

Oh, Keun-yeob - In: International journal of finance & economics : IJFE 4 (1999) 2, pp. 147-154

Persistent link: https://www.econbiz.de/10001434321

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