indexation lag, the term structure of expected inflation, and inflation swap rates. The model parameters are estimated using data …

We analyze the performance of Bayesian model averaged exchange rate forecasts for euro/US dollar, euro/Japanese yen …, euro/Swiss franc and euro/British pound rates using weights based on the out-of-sample predictive likelihood. The paper … predictions of euro exchange rates leads to improvements in predictive accuracy as measured by the mean square forecast error …