Foreign Currency Prognostication: Diverse Tests for Germany
Author
Abstract
Suggested Citation
DOI: 10.5430/ijfr.v8n3p111
Download full text from publisher
References listed on IDEAS
- Athanasios Orphanides & Simon van Norden, 2002.
"The Unreliability of Output-Gap Estimates in Real Time,"
The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 569-583, November.
- Athanasios Orphanides & Simon van Norden, 1999. "The Reliability of Output Gap Estimates in Real Time," Macroeconomics 9907006, University Library of Munich, Germany.
- Athanasios Orphanides & Simon Van_Norden, 2000. "The Reliability of Output Gap Estimates in Real Time," Econometric Society World Congress 2000 Contributed Papers 0768, Econometric Society.
- Athanasios Orphanides & Simon van Norden, 2001. "The Unreliability of Output Gap Estimates in Real Time," CIRANO Working Papers 2001s-57, CIRANO.
- Athanasios Orphanides & Simon van Norden, 1999. "The reliability of output gap estimates in real time," Finance and Economics Discussion Series 1999-38, Board of Governors of the Federal Reserve System (U.S.).
- Sarno,Lucio & Taylor,Mark P., 2003.
"The Economics of Exchange Rates,"
Cambridge Books,
Cambridge University Press, number 9780521485845, October.
- Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
- Nikolaos Dritsakis, 2004. "Tourism as a Long-Run Economic Growth Factor: An Empirical Investigation for Greece Using Causality Analysis," Tourism Economics, , vol. 10(3), pages 305-316, September.
- Alan M. Taylor, 2002.
"A Century Of Purchasing-Power Parity,"
The Review of Economics and Statistics, MIT Press, vol. 84(1), pages 139-150, February.
- Alan M. Taylor, 2000. "A Century of Purchasing-Power Parity," NBER Working Papers 8012, National Bureau of Economic Research, Inc.
- Chinn, Menzie D. & Meese, Richard A., 1995. "Banking on currency forecasts: How predictable is change in money?," Journal of International Economics, Elsevier, vol. 38(1-2), pages 161-178, February.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Augustine C. Arize & Ioannis N. Kallianiotis & John Malindretos & Alex Panayides & Demetri Tsanacas, 2018. "A Comparison of the Current Account and the Monetary Theories of Exchange Rate Determination," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(2), pages 102-107, February.
- Ioannis N. Kallianiotis & Karen Bianchi & Augustine C. Arize & John Malindretos & Ikechukwu Ndu, 2020. "Financial Assets, Expected Return and Risk, Speculation, Uncertainty, and Exchange Rate Determination," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 3-30.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Augustine C. Arize & John Malindretos & Tao Guo & Demetri Tsanacas & Lawrence Verzani, 2019. "Prognostications With Applications to the British Pound," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 10(4), pages 143-151, July.
- Augustine C. Arize & Ioannis N. Kallianiotis & John Malindretos & Alexis Panayides & Cheickna Sylla, 2021. "An Econometric Study of Forecasting French Foreign Exchange Rates," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 11(1), pages 3-14.
- Augustine C. Arize & Ioannis N. Kallianiotis & Ebere Ume Kalu & John Malindretos & Moschos Scoullis, 2017. "A Multitude of Econometric Tests: Forecasting the Dutsch Guilder," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(9), pages 94-101, September.
- Wu, Jyh-Lin & Hu, Yu-Hau, 2009. "New evidence on nominal exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 1045-1063, October.
- Abdalrahman AbuDalu & Elsadig Musa Ahmed, 2013. "The long and short run forcing variables of purchasing power parity of ASEAN-5," E3 Journal of Business Management and Economics., E3 Journals, vol. 4(3), pages 066-081.
- Barbara Rossi, 2013.
"Exchange Rate Predictability,"
Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
- Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona School of Economics.
- Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
- Rossi, Barbara, 2013. "Exchange Rate Predictability," CEPR Discussion Papers 9575, C.E.P.R. Discussion Papers.
- John Y. Campbell & Luis M. Viceira & Joshua S. White, 2003.
"Foreign Currency for Long-Term Investors,"
Economic Journal, Royal Economic Society, vol. 113(486), pages 1-25, March.
- John Y. Campbell & Luis M. Viceira & Joshua S. White, 2002. "Foreign Currency for Long-Term Investors," NBER Working Papers 9075, National Bureau of Economic Research, Inc.
- Campbell, John Y & Viceira, Luis & White, Josh S., 2002. "Foreign Currency for Long-Term Investors," CEPR Discussion Papers 3463, C.E.P.R. Discussion Papers.
- Viceira, Luis & Campbell, John & White, Joshua, 2003. "Foreign Currency for Long-Term Investors," Scholarly Articles 3128708, Harvard University Department of Economics.
- Yi‐Chiuan Wang & Jyh‐Lin Wu, 2015. "Fundamentals and Exchange Rate Prediction Revisited," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(8), pages 1651-1671, December.
- Kleopatra Nikolaou, 2007. "The behaviour of the real exchange rate: Evidence from regression quantiles," Money Macro and Finance (MMF) Research Group Conference 2006 46, Money Macro and Finance Research Group.
- Stuart Landon & Constance E. Smith, 2003.
"The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate: Estimates for the Yen–Dollar Rate,"
Review of International Economics, Wiley Blackwell, vol. 11(1), pages 144-158, February.
- Landon, Stuart & Smith, Constance, 1999. "The risk premium, exchange rate expectations, and the forward exchange rate: Estimates for the Yen-Dollar rate," MPRA Paper 9775, University Library of Munich, Germany.
- Christopher J. Neely & Lucio Sarno, 2002.
"How well do monetary fundamentals forecast exchange rates?,"
Review, Federal Reserve Bank of St. Louis, vol. 84(Sep), pages 51-74.
- Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Working Papers 2002-007, Federal Reserve Bank of St. Louis.
- Atsushi Inoue & Lutz Kilian, 2005.
"In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?,"
Econometric Reviews, Taylor & Francis Journals, vol. 23(4), pages 371-402.
- Inoue, Atsushi & Kilian, Lutz, 2002. "In-sample or out-of-sample tests of predictability: which one should we use?," Working Paper Series 195, European Central Bank.
- Kilian, Lutz & Inoue, Atsushi, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers.
- Grossmann, Axel & Orlov, Alexei G., 2022. "Exchange rate misalignments, capital flows and volatility," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
- Park, Cheolbeom & Park, Sookyung, 2013.
"Exchange rate predictability and a monetary model with time-varying cointegration coefficients,"
Journal of International Money and Finance, Elsevier, vol. 37(C), pages 394-410.
- Cheolbeom Park & Sookyung Park, 2013. "Exchange Rate Predictability and a Monetary Model with Time-varying Cointegration Coefficients," Discussion Paper Series 1302, Institute of Economic Research, Korea University.
- Emmanuel Davradakis, 2005. "Macroeconomic fundamentals and exchange rates: a non-parametric cointegration analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 15(7), pages 439-446.
- Kilian, Lutz & Taylor, Mark P., 2003.
"Why is it so difficult to beat the random walk forecast of exchange rates?,"
Journal of International Economics, Elsevier, vol. 60(1), pages 85-107, May.
- Kilian, Lutz & Taylor, Mark P., 2001. "Why is it so difficult to beat the random walk forecast of exchange rates?," Working Paper Series 88, European Central Bank.
- Lutz Kilian & Mark P. Taylor, 2001. "Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?," Working Papers 464, Research Seminar in International Economics, University of Michigan.
- Lutz Kilian & Mark P. Taylor, 2001. "Why is it so difficult to beat the Random Walk Forecast of Exchange Rates?," Tinbergen Institute Discussion Papers 01-031/4, Tinbergen Institute.
- Taylor, Mark & Kilian, Lutz, 2001. "Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?," CEPR Discussion Papers 3024, C.E.P.R. Discussion Papers.
- Moosa, Imad & Burns, Kelly, 2014. "The unbeatable random walk in exchange rate forecasting: Reality or myth?," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 69-81.
- Paresh Kumar Narayan & Biman Chand Prasad, 2008. "Are shocks to real effective exchange rates permanent or transitory? Evidence from Pacific Island countries," Applied Economics, Taylor & Francis Journals, vol. 40(8), pages 1053-1060.
- Hyeongwoo Kim & Young-Kyu Moh, 2012.
"The Yen Real Exchange Rate May Not be Stationary After All: New Evidence from Non-linear Unit-Root Tests,"
Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 18(4), pages 1-22, December.
- Hyeongwoo Kim & Young-Kyu Moh, 2012. "The Yen Real Exchange Rate May Not be Stationary After All: New Evidence from Non-linear Unit-Root Tests," Working Papers 2012-5, Economic Research Institute, Bank of Korea.
- Hyeongwoo Kim & Young-Kyu Moh, 2012. "The Yen Real Exchange Rate May Not Be Stationary After All: New Evidence from Non-linear Unit-Root Tests," Auburn Economics Working Paper Series auwp2012-02, Department of Economics, Auburn University.
- Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009.
"How Stable Are Monetary Models of the Dollar-Euro Exchange Rate?: A Time-Varying Coefficient Approach,"
Discussion Papers of DIW Berlin
944, DIW Berlin, German Institute for Economic Research.
- Beckmann, Joscha & Belke, Ansgar & Kühl, Michael, 2009. "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach," Ruhr Economic Papers 134, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
More about this item
Keywords
efficiency; exchange rate determination; exchange rate policy; forecasting; foreign exchange;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jfr:ijfr11:v:8:y:2017:i:3:p:111-120. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gina Perry (email available below). General contact details of provider: http://ijfr.sciedupress.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.