This paper presents a common trend VAR model, which allows us to estimate trend and cyclical components of output, inflation, and interest rate. From a theoretical perspective, we build upon the consumption Euler equation, which implies that there exists a cointegration relation between the...

This paper presents a dynamic model averaging approach for forecasting nominal exchange rates, which is a novel approach in exchange rate forecasting literature. This framework encompasses most of the approaches commonly used in the forecasting literature. We focus on nine major trading currency...

This paper presents a dynamic model averaging approach for forecasting nominal exchange rates, which is a novel approach in exchange rate forecasting literature. This framework encompasses most of the approaches commonly used in the forecasting literature. We focus on nine major trading currency...

This paper focuses on the predictive role of inflation and interest rates in forecasting stock returns. We report economically significant in-sample evidence that stock returns are predictable using cyclical components of inflation and interest rates. The out-of-sample analysis results show that...