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investment managers, it remains a theoretical and empirical puzzle. In theory the forward rate should be an unbiased forecast of …
Persistent link: https://www.econbiz.de/10013004445
frequently participate in the survey manage to significantly outperform the random-walk forecast. For the central bank's policy … rate, the market participants typically have a statistically significant higher forecast accuracy than the random …-walk forecast at the three-month horizon; however, at the two- and five-year horizons, the random-walk forecast typically outperform …
Persistent link: https://www.econbiz.de/10013493010
data) between the PPP-based forecast models, and the Vector Autoregresive (VAR) ones. The VAR method has a better …
Persistent link: https://www.econbiz.de/10013152799
This paper evaluates aggregated survey forecasts with forecast horizons of 3, 12, and 24 months for the exchange rates … common forecast accuracy measures. Additionally, the rationality of the exchange rate predictions are assessed utilizing …
Persistent link: https://www.econbiz.de/10011741554
We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...
Persistent link: https://www.econbiz.de/10012906841
forecast accuracy: Mean Squared Prediction Error and Mean Directional Accuracy. We also show that the first principal component …
Persistent link: https://www.econbiz.de/10012845101
This paper examines the performance of several state-of-the-art deep learning techniques for exchange rate forecasting (deep feedforward network, convolutional network and a long short-term memory). On the one hand, the configuration of the different architectures is clearly detailed, as well as...
Persistent link: https://www.econbiz.de/10013296645
This paper evaluates aggregated survey forecasts with forecast horizons of 3, 12, and 24 months for the exchange rates … common forecast accuracy measures. Additionally, the rationality of the exchange rate predictions are assessed utilizing …
Persistent link: https://www.econbiz.de/10012944283
Forecasting exchange rates is a subject of wide interest to both academics and practitioners. We aim at contributing to this vivid research area by highlighting the role of both technical indicators and macroeconomic predictors in forecasting exchange rates. Employing monthly data ranging from...
Persistent link: https://www.econbiz.de/10012945988
Inflation Expectations survey perform relative to the random-walk forecast when it comes to predicting five financial variables …-walk forecast for the repo rate and Prague Interbank Offered Rate at the onemonth forecasting horizon. For the five-year and ten … horizons. For the CZE/EUR exchange rate, no statistically significant differences in forecast precision were found. …
Persistent link: https://www.econbiz.de/10013469611