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Improving forecasting performance by window and model averaging
Bhattacharya, Prasad S.; Thomakos, Dimitrios D. - 2011
minimizes the pitfalls associated with potential structural breaks. Exchange rate forecasting, inflation forecasting, output …
Persistent link: https://www.econbiz.de/10009011332
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Inflation, Real Economic Growth and Unemployment Expectations : An Empirical Analysis Based on the ECB Survey of Professional Forecasters
Ramos-Herrera, María del Carmen - 2017
Expectations are at the centre of modern macroeconomic theory and policymakers. In this paper, we examine the predictive ability and the consistency properties of macroeconomic expectations using data of the European Central Bank (ECB) Survey of Professional Forecasters (SPF)
Persistent link: https://www.econbiz.de/10012961331
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Heuristics versus Econometrics as a Basis For Forecasting International Inflation Differentials
Rötheli, Tobias F. - 2018
Purpose: This study addresses the issue of prediction of inflation differences for an economy that considers either … inflation and anticipating the possible course of domestic inflation relative to inflation abroad becomes an important input in … simplest such forecasting heuristic suggests that the average over all available observations of inflation differentials should …
Persistent link: https://www.econbiz.de/10012935964
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Testing the asset pricing model of exchange rates with survey data
Naszodi, Anna - 2010
This paper proposes a new test for the asset pricing model of the exchange rate. It examines whether the way market analysts generate their forecasts is closer to the one implied by the asset pricing model, or to any of those implied by some alternative models. The asset pricing model is...
Persistent link: https://www.econbiz.de/10003973394
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Beating the random walk in Central and Eastern Europe by survey forecasts
Naszodi, Anna - 2011
This paper investigates the forecasting ability of survey data on exchange rate expectations with multiple forecast horizons. The survey forecasts are on the exchange rates of five Central and Eastern European currencies: Czech Koruna, Hungarian Forint, Polish Zloty, Romanian Leu and Slovakian...
Persistent link: https://www.econbiz.de/10009157616
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Testing the asset pricing model of exchange rates with survey data
Naszodi, Anna - 2011
This paper proposes a new test for the asset pricing model of the exchange rate. It examines whether the way market analysts generate their forecasts is closer to the one implied by the asset pricing model, or to any of those implied by some alternative models. The asset pricing model is...
Persistent link: https://www.econbiz.de/10009157618
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Testing the Asset Pricing Model of Exchange Rates with Survey Data
Naszodi, Anna - 2010
This paper proposes a new test for the asset pricing model of the exchange rate. It examines whether the way market analysts generate their forecasts is closer to the one implied by the asset pricing model, or to any of those implied by some alternative models. The asset pricing model is...
Persistent link: https://www.econbiz.de/10013143622
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Trend fundamentals and exchange rate dynamics
Huber, Florian; Kaufmann, Daniel - 2015
strategies may be well described by Taylor rules with a time-varying inflation target, a time-varying natural rate of … benchmark model that does not account for changes in trend inflation and trend unemployment. …
Persistent link: https://www.econbiz.de/10011326550
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Improving Forecasting Performance by Window and Model Averaging
Bhattacharya, Prasad S. - 2011
countries, US inflation rate and US output growth rate. For exchange rates, we use the dataset of Molodtsova and Papell (2009 … the forecasting ability of ‘simpler' economic models of exchange rates. With respect to US inflation and output growth …
Persistent link: https://www.econbiz.de/10013128737
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Quarterly Projection Model for the National Bank of Rwanda
Vlček, Jan; Pranovich, Mikhail; Hitayezu, Patrick; … - 2021
National Bank of Rwanda (BNR) modernized monetary policy and transited to the price-based policy framework in January 2019. The Forecasting and Policy Analysis System (FPAS) is the cornerstone for the new forward-looking framework, which mobilizes and organizes resources and sets processes for...
Persistent link: https://www.econbiz.de/10013249729