IDEAS home Printed from https://ideas.repec.org/h/elg/eechap/13767_6.html
   My bibliography  Save this book chapter

Forecasting International Financial Prices with Fundamentals: How do Stocks and Exchange Rates Compare?

In: Globalization and Economic Integration

Author

Listed:
  • Robert P. Flood
  • Andrew K. Rose

Abstract

Given the importance of globalization in today’s world, this salutary and timely book explores how globalization is specifically shaping the Asia-Pacific. It investigates future prospects and challenges, identifies the key winners and losers, and concludes in many cases that the portents for globalization are not particularly promising.

Suggested Citation

  • Robert P. Flood & Andrew K. Rose, 2010. "Forecasting International Financial Prices with Fundamentals: How do Stocks and Exchange Rates Compare?," Chapters, in: Noel Gaston & Ahmed M. Khalid (ed.), Globalization and Economic Integration, chapter 6, Edward Elgar Publishing.
    • Handle: RePEc:elg:eechap:13767_6
    as

    Download full text from publisher

    File URL: https://www.elgaronline.com/view/9781848448612.00013.xml
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Charles Engel & Kenneth D. West, 2005. "Exchange Rates and Fundamentals," Journal of Political Economy, University of Chicago Press, vol. 113(3), pages 485-517, June.
    2. Charles Engel & Nelson C. Mark & Kenneth D. West, 2008. "Exchange Rate Models Are Not as Bad as You Think," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 381-441, National Bureau of Economic Research, Inc.
    3. Barbara Rossi, 2005. "Testing Long-Horizon Predictive Ability With High Persistence, And The Meese-Rogoff Puzzle," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 46(1), pages 61-92, February.
    4. Cheung, Yin-Wong & Chinn, Menzie D. & Pascual, Antonio Garcia, 2005. "Empirical exchange rate models of the nineties: Are any fit to survive?," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1150-1175, November.
    5. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
    6. Eugene F. Fama & Kenneth R. French, 2002. "The Equity Premium," Journal of Finance, American Finance Association, vol. 57(2), pages 637-659, April.
    7. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    Full references (including those not matched with items on IDEAS)

    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.
    1. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
    2. Molodtsova, Tanya & Papell, David H., 2009. "Out-of-sample exchange rate predictability with Taylor rule fundamentals," Journal of International Economics, Elsevier, vol. 77(2), pages 167-180, April.
    3. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2015. "Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 116-141.
    4. Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2018. "On The Sources Of Uncertainty In Exchange Rate Predictability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 59(1), pages 329-357, February.
    5. Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2015. "Exchange rate forecasts and expected fundamentals," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 235-256.
    6. Ince, Onur & Molodtsova, Tanya & Papell, David H., 2016. "Taylor rule deviations and out-of-sample exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 22-44.
    7. Pasquale Della Corte & Lucio Sarno & Giulia Sestieri, 2012. "The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 100-115, February.
    8. Yu-Chin Chen & Kenneth S. Rogoff & Barbara Rossi, 2010. "Can Exchange Rates Forecast Commodity Prices?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 125(3), pages 1145-1194.
    9. Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016. "Exchange rate predictability in a changing world," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 1-24.
    10. Lars P. Feld & Ekkehard A. Köhler, 2015. "Is Switzerland an Interest Rate Island after all? Time Series and Non-Linear Switching Regime Evidence," CESifo Working Paper Series 5628, CESifo.
    11. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    12. Domenico Ferraro & Kenneth S. Rogoff & Barbara Rossi, 2011. "Can oil prices forecast exchange rates?," Working Papers 11-34, Federal Reserve Bank of Philadelphia.
    13. David Alan Peel & Pantelis Promponas, 2016. "Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K," Working Papers 144439514, Lancaster University Management School, Economics Department.
    14. López-Suárez, Carlos Felipe & Rodríguez-López, José Antonio, 2011. "Nonlinear exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 877-895, September.
    15. Jian Wang & Jason J. Wu, 2012. "The Taylor Rule and Forecast Intervals for Exchange Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 103-144, February.
    16. Kharrat, Sabrine & Hammami, Yacine & Fatnassi, Ibrahim, 2020. "On the cross-sectional relation between exchange rates and future fundamentals," Economic Modelling, Elsevier, vol. 89(C), pages 484-501.
    17. Galimberti, Jaqueson K. & Moura, Marcelo L., 2013. "Taylor rules and exchange rate predictability in emerging economies," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1008-1031.
    18. Rossi Junior, Jose Luiz & Felicio, Wilson Rafael de Oliveira, 2014. "Common Factors and the Exchange Rate: Results From the Brazilian Case," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(1), April.
    19. Ince, Onur, 2014. "Forecasting exchange rates out-of-sample with panel methods and real-time data," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 1-18.
    20. Engel, Charles & Wu, Steve Pak Yeung, 2023. "Forecasting the U.S. Dollar in the 21st Century," Journal of International Economics, Elsevier, vol. 141(C).

    More about this item

    Keywords

    Asian Studies; Economics and Finance;

    Statistics

    Access and download statistics

    Corrections

    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:elg:eechap:13767_6. 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: Darrel McCalla (email available below). General contact details of provider: http://www.e-elgar.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.