In this paper we provide evidence of exchange rate predictability for a selected emerging market economy (EME) at intermediate horizons, arguably, the most relevant for policy purposes. This is important because the existing literature on exchange rate predictability has mainly focused on...

Normally inflation forecasts are made at different moments and based on varied data sets. One would expect a projection based on a larger data set to be more accurate than one based on a data set nested in the former. To test this hypothesis, this paper runs a joint test of superior predictive...