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Exchange Rate Predictability in a Changing World

Citations

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Cited by:

  1. Teona Shugliashvili, 2023. "The words have power: the impact of news on exchange rates," FFA Working Papers 5.006, Prague University of Economics and Business, revised 31 Jul 2023.
  2. de Souza Vasconcelos, Camila & Hadad Júnior, Eli, 2023. "Forecasting exchange rate: A bibliometric and content analysis," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 607-628.
  3. Panopoulou, Ekaterini & Souropanis, Ioannis, 2019. "The role of technical indicators in exchange rate forecasting," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 197-221.
  4. Huber, Florian, 2017. "Structural breaks in Taylor rule based exchange rate models — Evidence from threshold time varying parameter models," Economics Letters, Elsevier, vol. 150(C), pages 48-52.
  5. Ibrahim D. Raheem & Xuan Vinh Vo, 2022. "A new approach to exchange rate forecast: The role of global financial cycle and time‐varying parameters," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 2836-2848, July.
  6. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
  7. Joscha Beckmann & Gary Koop & Dimitris Korobilis & Rainer Alexander Schüssler, 2020. "Exchange rate predictability and dynamic Bayesian learning," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 410-421, June.
  8. Raheem, Ibrahim, 2020. "Global financial cycles and exchange rate forecast: A factor analysis," MPRA Paper 105358, University Library of Munich, Germany.
  9. Florian Huber & Daniel Kaufmann, 2020. "Trend Fundamentals and Exchange Rate Dynamics," Economica, London School of Economics and Political Science, vol. 87(348), pages 1016-1036, October.
  10. Alfredo Bateman y Javier E. Martinez & Javier Esteban Martinez, 2010. "Cuaderno 4: Análisis de las fuentes de oferta y demanda en el mercado de divisas," Cuadernos de Desarrollo Económico 7586, Secretaría Distrital de Desarrollo Económico.
  11. Niko Hauzenberger & Florian Huber, 2020. "Model instability in predictive exchange rate regressions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 168-186, March.
  12. Zorzi, Michele Ca’ & Rubaszek, Michał, 2020. "Exchange rate forecasting on a napkin," Journal of International Money and Finance, Elsevier, vol. 104(C).
  13. Huber, Florian & Zörner, Thomas, 2017. "Threshold cointegration and adaptive shrinkage," Department of Economics Working Paper Series 250, WU Vienna University of Economics and Business.
  14. Salisu, Afees A. & Gupta, Rangan & Kim, Won Joong, 2022. "Exchange rate predictability with nine alternative models for BRICS countries," Journal of Macroeconomics, Elsevier, vol. 71(C).
  15. Markus Hertrich, 2022. "Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc," Review of International Economics, Wiley Blackwell, vol. 30(2), pages 450-489, May.
  16. Narayan, Paresh Kumar & Sharma, Susan Sunila & Phan, Dinh Hoang Bach & Liu, Guangqiang, 2020. "Predicting exchange rate returns," Emerging Markets Review, Elsevier, vol. 42(C).
  17. Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," Borradores de Economia 12339, Banco de la Republica.
  18. Chen, Hongyi & Cao, Shuo, 2019. "Exchange Rate Movements and Fundamentals: Impact of Oil Prices and the People’s Republic of China’s Growth," ADBI Working Papers 938, Asian Development Bank Institute.
  19. Christina Christou & Rangan Gupta & Christis Hassapis & Tahir Suleman, 2018. "The role of economic uncertainty in forecasting exchange rate returns and realized volatility: Evidence from quantile predictive regressions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(7), pages 705-719, November.
  20. Francesco Ravazzolo & Tommy Sveen & Sepideh K. Zahiri, 2016. "Commodity Futures and Forecasting Commodity Currencies," Working Papers No 7/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  21. Hertrich, Markus, 2020. "Foreign exchange interventions under a one-sided target zone regime and the Swiss franc," Discussion Papers 21/2020, Deutsche Bundesbank.
  22. Zhang, Qian & Li, Zeguang, 2021. "Time-varying risk attitude and the foreign exchange market behavior," Research in International Business and Finance, Elsevier, vol. 57(C).
  23. Nikita D. Fokin & Ekaterina V. Malikova & Andrey V. Polbin, 2024. "Time-varying parameters error correction model for real ruble exchange rate and oil prices: What has changed due to capital control and sanctions?," Russian Journal of Economics, ARPHA Platform, vol. 10(1), pages 20-33, March.
  24. Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023. "Transformed regression-based long-horizon predictability tests," Journal of Econometrics, Elsevier, vol. 237(2).
  25. Hassanniakalager, Arman & Sermpinis, Georgios & Stasinakis, Charalampos, 2021. "Trading the foreign exchange market with technical analysis and Bayesian Statistics," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 230-251.
  26. Huber, Florian & Zörner, Thomas O., 2019. "Threshold cointegration in international exchange rates:A Bayesian approach," International Journal of Forecasting, Elsevier, vol. 35(2), pages 458-473.
  27. Liu, Li & Tan, Siming & Wang, Yudong, 2020. "Can commodity prices forecast exchange rates?," Energy Economics, Elsevier, vol. 87(C).
  28. Aristidou, Chrystalleni & Lee, Kevin & Shields, Kalvinder, 2022. "Fundamentals, regimes and exchange rate forecasts: Insights from a meta exchange rate model," Journal of International Money and Finance, Elsevier, vol. 123(C).
  29. Joseph Agyapong, 2021. "Application of Taylor Rule Fundamentals in Forecasting Exchange Rates," Economies, MDPI, vol. 9(2), pages 1-27, June.
  30. Sercan Eraslan, 2019. "Asymmetric arbitrage trading on offshore and onshore renminbi markets," Empirical Economics, Springer, vol. 57(5), pages 1653-1675, November.
  31. 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.
  32. Krystian Jaworski, 2021. "Forecasting exchange rates for Central and Eastern European currencies using country‐specific factors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 977-999, September.
  33. Frederik Kunze, 2020. "Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 313-333, March.
  34. Fu, Sibao & Li, Yongwu & Sun, Shaolong & Li, Hongtao, 2019. "Evolutionary support vector machine for RMB exchange rate forecasting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 692-704.
  35. Bruno P. C. Levy & Hedibert F. Lopes, 2021. "Dynamic Ordering Learning in Multivariate Forecasting," Papers 2101.04164, arXiv.org, revised Nov 2021.
  36. Kunze, Frederik, 2017. "Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts," University of Göttingen Working Papers in Economics 326, University of Goettingen, Department of Economics.
  37. David Alaminos & M. Belén Salas & Manuel Á. Fernández-Gámez, 2023. "Quantum Monte Carlo simulations for estimating FOREX markets: a speculative attacks experience," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-21, December.
  38. Ren, Yu & Liang, Xuanxuan & Wang, Qin, 2021. "Short-term exchange rate forecasting: A panel combination approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  39. 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.
  40. Börger, Carina & Kempa, Bernd, 2024. "Real exchange rate convergence in the euro area: Evidence from a dynamic factor model," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 213-224.
  41. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
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