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Equilibrium real effective exchange rates and real exchange rate misalignments : time series vs. panel estimates
Hossfeld, Oliver - 2010
panel cointegration techniques to derive fully countryspecific measures of misalignment and measures based on panel …-of-sample performance prior to comparing it to two final panel specifications. Robustness of the results is supported by recently introduced … cross-sectionally augmented panel unit root tests by Pesaran (2007) and bootstrapped error correction-based panel …
Persistent link: https://www.econbiz.de/10011374380
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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
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Exchange rate forecasting on a napkin
Ca'Zorzi, Michele; Rubaszek, Michał - 2018
reversion and assume that relative prices are unchanged. Direct forecasting or panel data techniques are better than the random …
Persistent link: https://www.econbiz.de/10011856403
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The Predictive Power of Equilibrium Exchange Rate Models
Ca'Zorzi, Michele - 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/10012844460
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Forecasting Foreign Exchange Rate Assuming PPP Conditions : Empirical Evidence Using VAR
Fayad, Catherine - 2010
In this paper we evaluate a set of Colombian exchange rate forecasts during 1995-2005, using a Purchasing Power of Parity Exchange Rate Model (PPPER). Our first finding is that the computed forecasts seem to validate the use of this model under certain conditions given that, theoretically, it...
Persistent link: https://www.econbiz.de/10013152799
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Long Horizon Predictability of Exchange Rates : Is it for Real?
Groen, Jan J. - 1999
This paper reexamines recent results on the predictability of nominal exchange rate returns by means of fundamental models. Using a monthly sample of the post-Bretton Woods period we show that the in-sample fit between long-horizon exchange rate returns and various models is not significant if...
Persistent link: https://www.econbiz.de/10014184338
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Is Sign-Only Forecast of Exchange Rate Easier Than Forecasting Both Sign and Size?
Park, Hae-Sun - 2017
Forecasting exchange rate movements is extremely difficult. While the usual forecast requires determining the size and sign of change, we investigate if the direction of change alone is easier to forecast. The accuracy rate of monthly forecasts based on an economic model is compared with random...
Persistent link: https://www.econbiz.de/10012944064
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Real Exchange Rate Forecasting and PPP : This Time the Random Walk Loses
Ca' Zorzi, Michele - 2017
This paper brings four new insights into the Purchasing Power Parity (PPP) debate. First, we show that a half-life PPP (HL) model is able to forecast real exchange rates better than the random walk (RW) model at both short and long-term horizons. Second, we find that this result holds if the...
Persistent link: https://www.econbiz.de/10012971234
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Understanding forecast failure of ESTAR models of real exchange rates
Buncic, Daniel - 2009 - This Version : July 23, 2009
The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample eval-uation period of nearly 12 years. Point as well as density forecasts are constructed, considering forecast horizons of 1 to 22...
Persistent link: https://www.econbiz.de/10011523710
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Great expectations? : evidence from Colombia’s exchange rate survey
Echavarría Soto, Juan José; Villamizar, Mauricio - In: Latin American economic review : LAER ; official … 25 (2016), pp. 1-27
In this paper, we use the largest exchange rate survey in Colombia to test for the rational expectations hypothesis, the presence of a time-varying risk premium and the accuracy of exchange rate forecasts. Our findings indicate that episodes of exchange rate appreciation preceded expectations of...
Persistent link: https://www.econbiz.de/10011885644