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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 … effective exchange rates and currency misalignments for the US and its 16 major trading partners. We apply cointegration and …-of-sample performance prior to comparing it to two final panel specifications. Robustness of the results is supported by recently introduced …

Persistent link: https://www.econbiz.de/10011374380

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

Does the Prediction Horizon Matter for the Forward Premium Anomaly? Evidence from Panel Data

Yang, Kun; Shintani, Mototsugu - 2010

The forward unbiasedness regression is revisited by varying the prediction horizons from 1 day to 1 year. The panel …

Persistent link: https://www.econbiz.de/10014225568

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 exchange rates with commodity prices : a global country analysis

Baumgärtner, Martin; Klose, Jens - 2018

This paper investigates the predictive properties of import and export prices of commodities on the exchange rates. A period from 1993 to 2016 is considered. We find that forecasts of the exchange rate adding commodity export and import prices are superior to those neglecting these variables....

Persistent link: https://www.econbiz.de/10011822076

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

Forecasting exchange rates of major currencies with long maturity forward rates

Darvas, Zsolt M.; Schepp, Zoltán - 2020

panel estimation, recursive and rolling estimation, and alternate data construction methods. The model performs better when …

Persistent link: https://www.econbiz.de/10012302033

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

The Predictive Power of Equilibrium Exchange Rate Models

Ca' Zorzi, Michele - 2020

Persistent link: https://www.econbiz.de/10012844460

Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals

Molodtsova, Tanya - 2019

An extensive literature that studied the performance of empirical exchange rate models following Meese and Rogoff's (1983a) seminal paper has not convincingly found evidence of out-of-sample exchange rate predictability. This paper extends the conventional set of models of exchange rate...

Persistent link: https://www.econbiz.de/10012893399

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