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Klaassen, F.J.G.M. - Tilburg University, Center for Economic Research - 1998

Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH effects are allowed within each regime, so that our...

Persistent link: https://www.econbiz.de/10011090288

Purchasing Power Parity : Evidence from a New Test

Klaassen, F.J.G.M. - Tilburg University, Center for Economic Research - 1999

Most economists intuitively consider purchasing power parity (PPP) to be true. Nevertheless, quite surprisingly, the empirical literature is not very supportive for PPP. In this paper, however, we find evidence in favor of PPP using a new test. The test is embedded in a Markov regime-switching...

Persistent link: https://www.econbiz.de/10011090364

Long Swings in Exchange Rates : Are They Really in the Data?

Klaassen, F.J.G.M. - Tilburg University, Center for Economic Research - 1999

The random walk is often used to model exchange rates. According to the Lucas critique, however, policy shifts may lead to breaks in the trend of exchange rates and hence to long swings. We use a Markov regime-switching model to allow for such swings and we reject the random walk in favor of the...

Persistent link: https://www.econbiz.de/10011092028

Assessing the predictive ability of sovereign default risk on exchange rate returns

Foroni, Claudia; Ravazzolo, Francesco; Sadaba, Barbara - 2017

structure at different maturities of sovereign credit default swaps and conduct an out-of-sample forecasting exercise to test … improves the forecasting accuracy upon the random walk model at short forecasting horizons. …

Persistent link: https://www.econbiz.de/10012014546

Assessing the predictive ability of sovereign default risk on exchange rate returns

Foroni, Claudia; Ravazzolo, Francesco; Sadaba, Barbara - 2017

Persistent link: https://www.econbiz.de/10011646738

FORECASTING THE CONDITIONAL COVARIANCE MATRIX OF A PORTFOLIO UNDER LONG-RUN TEMPORAL DEPENDENCE

Serrano, Antonio Rubia; Ñíguez, Trino-Manuel - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2003

Long-range persistence in volatility is widely modelled and forecasted in terms of the so-called fractional integrated models. These models are mostly applied in the univariate framework, since the extension to the multivariate context of assets portfolios, while relevant, is not...

Persistent link: https://www.econbiz.de/10005731402

Understanding Models' Forecasting Performance

Rossi, Barbara; Sekhposyan, Tatevik - Duke University, Department of Economics - 2010

We propose a new methodology to identify the sources of models’ forecasting performance. The methodology decomposes the … models’ forecasting performance into asymptotically uncorrelated components that measure instabilities in the forecasting … understanding the causes of the poor forecasting ability of economic models for exchange rate determination. …

Persistent link: https://www.econbiz.de/10008549032

The changing relationship between commodity prices and equity prices in commodity exporting

Rossi, Barbara - Department of Economics and Business, Universitat … - 2012

We explore the linkage between equity and commodity markets, focusing in particular on its evolution over time. We document that a country's equity market value has significant out-of-sample predictive ability for the future global commodity price index for several primary commodity-exporting...

Persistent link: https://www.econbiz.de/10010718621

Inflation Targeting and Exchange Rate Dynamics: Evidence From Turkey

Ozdemir, K. Azim; Yigit, Serkan - Türkiye Cumhuriyet Merkez Bankası - 2009

This paper examines the constraints on the dynamics of the daily US dollar and the Euro exchange rates relative to the Turkish lira after the full fledged Inflation Targeting regime was adopted in 2006. We find that the single threshold specifications with two regimes that allow the conditional...

Persistent link: https://www.econbiz.de/10005792693

Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data

de Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary Economics 7 (2013) 1, pp. 19-32

walk model suggests that the forecasting performance of the monetary model is superior. …

Persistent link: https://www.econbiz.de/10010436043