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The Influence of Policy Uncertainty on Exchange Rate Forecasting

Smales, Lee A. - 2021

results clearly demonstrate that analyst forecast errors, and forecast dispersion, increase with EPU. US monetary policy … uncertainty and Japanese trade policy uncertainty are particularly important in generating forecast dispersion. The empirical … findings are consistent across forecast horizons ranging from 1-month to 1-year. This has important implications for market …

Persistent link: https://www.econbiz.de/10013239718

Exchange rates in South America's emerging markets

Sosa, Luis Molinas; Pereira, Caio Vigo - 2020

Since Meese and Rogoff (1983) results showed that no model could outperform a random walk in predicting exchange rates. Many papers have tried to find a forecasting methodology that could beat the random walk, at least for certain forecasting periods. This Element compares the Purchasing Power...

Persistent link: https://www.econbiz.de/10013272389

Forecasting fuel prices with the Chilean exchange rate : going beyond the commodity currency hypothesis

Pincheira, Pablo; Bentancor, Andrea; Hardy, Nicolás; … - In: Energy economics 106 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013202113

Oil tail risk and the tail risk of the US Dollar exchange rates

Salisu, Afees A.; Olaniran, Abeeb; Tchankam, Jean Paul - In: Energy economics 109 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013283764

Cryptocurrency exchanges : predicting which markets will remain active

Milunovich, George; Lee, Seung Ah - In: Journal of forecasting 41 (2022) 5, pp. 945-955

Persistent link: https://www.econbiz.de/10013287889

The influence of policy uncertainty on exchange rate forecasting

Smales, Lee A. - In: Journal of forecasting 41 (2022) 5, pp. 997-1016

Persistent link: https://www.econbiz.de/10013287895

Palm oil price-exchange rate nexus in Indonesia and Malaysia

Salisu, Afees A.; Sikiru, Abdulsalam Abidemi - In: Bulletin of monetary economics and banking 24 (2021) 2, pp. 169-180

Persistent link: https://www.econbiz.de/10012664836

Forecasting Realized Volatility with wavelet decomposition

Souropanis, Ioannis; Vivian, Andrew - 2021

Forecasting Realized Volatility (RV) is of paramount importance for both academics andpractitioners. During recent decades, academic literature has made substantial progressboth in terms of methods and predictors under consideration. Despite the popularity oftechnical indicators, there has been...

Persistent link: https://www.econbiz.de/10013244692

Analyst Forecasts and Currency Markets

Mair, Florian - 2021

forecast dispersion is positively associated with future currency returns. Portfolios built from analyst forecasts tend to …

Persistent link: https://www.econbiz.de/10013245904

A Directional Evaluation of Corporate Executives’ Exchange Rate Forecasts

Tsuchiya, Yoichi - 2013

We investigate the directional accuracy of exchange rate forecasts by corporate executives. We find that a forecast … studies provide considerable evidence that forecasts with horizons of 1 year and longer are not valuable. However, a forecast …

Persistent link: https://www.econbiz.de/10013078513