Using eight unit root tests and a stationarity test and three decades of monthly data for the currencies between the US, Germany, UK and Switzerland, we find that, while spot exchange rates are non-stationary, long maturity forward rates are stationary

This paper is the first to use an economic theory-based model—the monetary model of exchange rates within a rational expectations present value framework—to forecast the daily exchange rate of a major currency. Our out-of-sample forecast evaluation period, spanning from 1990 to 2024, is...

We show that in a popular model of exchange rate determination, the unobserved expected future exchange rate can be substituted with the observed forward exchange rate. This allows the derivation of a new error-correction forecasting model, which approximates the gap between the fundamental...

This paper presents unprecedented exchange rate forecasting results, based upon a new model that approximates the gap between the fundamental equilibrium exchange rate and the actual exchange rate with the long-maturity forward exchange rate. The theoretical derivation of our forecasting...

Az előadás „A felsőoktatás és iparpolitika — helyzetfelmérés” c. konferencián hangzott el 2018. november 7-én. A rendezvényt a Magyar Statisztikai Társaság Statisztika-oktatási Szakosztálya, a Budapesti Corvinus Egyetem Statisztika Tanszéke és a Köz-Gazdaság c. folyóirat...

A hazai szakirodalomban hiánypótló jelen tanulmány célja, hogy az időskori döntéshozatal és a kockázati preferenciák nemzetközi kutatási trendjeit egyrészt különféle módszertani megközelítések mentén rendszerezze - ideértve a kísérleti-, a kérdőíves- és a...

The objective of this study fills a gap in the Hungarian academic literature: its goal, on the one hand, is to systematise the research trends of decision-making and risk preferences at older ages according to the various methodological approaches, including researches based on experiment,...

In the last decade foreign currency indebtedness in Hungary has become a systemic financial problem, which also has a crippling impact on the real economy through its income and lending effects and has a significant constraining impact on economic policy. Besides the exchange rate the interest...