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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

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

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

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

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

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

Risk Premium Factor and Exchange Rate Forecasting

Ogruk-Maz, Gokcen - 2020

I estimate a dynamic factor from the risk premium of carry trading of bilateral US Dollar against 15 OECD countries and use that factor to augment the macro fundamentals suggested by the Taylor rule, monetary and purchasing power parity models. Meese and Rogoff (1983) show economic models of...

Persistent link: https://www.econbiz.de/10012853510

Can Oil Prices Forecast Exchange Rates?

Ferraro, Domenico - 2013

This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...

Persistent link: https://www.econbiz.de/10013077109

Can Oil Prices Forecast Exchange Rates?

Ferraro, Domenico - 2016

We show the existence of a very short-term relationship at the daily frequency between changes in the price of a country's major commodity export and changes in its nominal exchange rate. The relationship appears to be robust and to hold when we use contemporaneous (realized) commodity price...

Persistent link: https://www.econbiz.de/10012981871

Can Oil Prices Forecast Exchange Rates?

Ferraro, Domenico; Rogoff, Kenneth; Rossi, Barbara - 2011

This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S. dollar nominal exchange rate. Despite state-of-the-art methodologies, the authors find little systematic relation between oil prices and the exchange rate at the monthly and...

Persistent link: https://www.econbiz.de/10014178173

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