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CAN EXCHANGE RATES FORECAST COMMODITY PRICES?

Chen, Yu-chin; Rogoff, Kenneth; Rossi, Barbara - Duke University, Department of Economics - 2008

This paper studies the dynamic relationship between exchange rate fluctuations and world commodity price movements. Taking into account parameter instability, we demonstrate surprisingly robust evidence that exchange rates predict world commodity price movements, both in-sample and...

Persistent link: https://www.econbiz.de/10005787382

Forecasting Exchange Rates with a Large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2008

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …

Persistent link: https://www.econbiz.de/10005789104

Comparing the Accuracy of Density Forecasts from Competing Models

Sarno, Lucio; Valente, Giorgio - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005706641

Can Exchange Rates Forecast Commodity Prices?

Chen, Yu-chin; Rogoff, Kenneth; Rossi, Barbara - Duke University, Department of Economics - 2010

practical implications, our forecasting results provide perhaps the most convincing evidence to date that the exchange rate …,b) literature on forecasting exchange rates, we find that the reverse forecasting regression does not survive out-of-sample testing …

Persistent link: https://www.econbiz.de/10008549016

Forecasting exchange rates: a robust regression approach

PREMINGER, Arie; FRANCK, Raphael - Center for Operations Research and Econometrics (CORE), … - 2005

approach,based on the S-estimation method, to construct forecasting models that are less sensitive to data contamination by … accuracy and sign predictability measures. We find that robust models tend to improve the forecasting accuracy of the AR and of …

Persistent link: https://www.econbiz.de/10005008478

Forecasting Exchange Rates with a Large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - School of Economics and Finance, Queen Mary - 2008

Persistent link: https://www.econbiz.de/10005106322

Improving GARCH volatility forecasts with regime-switching GARCH

Klaassen, Franc - In: Empirical Economics 27 (2002) 2, pp. 363-394

-period-ahead volatility forecasting a convenient recursive procedure. The empirical analysis demonstrates that the model resolves the problem …

Persistent link: https://www.econbiz.de/10005166729

Forecasting Exchange Rates with a Large Bayesian VAR

Carriero, A.; Kapetanios, G.; Marcellino, M. - Department of Economics, European University Institute - 2008

Persistent link: https://www.econbiz.de/10005744345

Forecasting euro exchange rates: How much does model averaging help?

Cuaresma, Jesus Crespo - Institut für Finanzwissenschaft, Fakultät für …

. While the forecasting error of the combined forecast tends to be systematically smaller than that of the individual model …

Persistent link: https://www.econbiz.de/10005581167

Random Walk Theory and Exchange Rate Dynamics in Transition Economies

Gradojević, Nikola; Djaković, Vladimir; Andjelić, Goran - In: Panoeconomicus 57 (2010) 3, pp. 303-320

span. To assess the robustness of our findings, we examine the forecasting performance of a non-linear, nonparametric model …

Persistent link: https://www.econbiz.de/10008677175

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