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Exchange Rate Predictability and Monetary Fundamentals in a Small Multi-country Panel
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Cited by:
- Lucio Sarno & Giorgio Valente, 2009.
"Exchange Rates and Fundamentals: Footloose or Evolving Relationship?,"
Journal of the European Economic Association, MIT Press, vol. 7(4), pages 786-830, June.
- Sarno, Lucio & Valente, Giorgio, 2008. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," CEPR Discussion Papers 6638, C.E.P.R. Discussion Papers.
- Raheem, Ibrahim, 2020. "Global financial cycles and exchange rate forecast: A factor analysis," MPRA Paper 105358, University Library of Munich, Germany.
- Barbara Rossi, 2013.
"Exchange Rate Predictability,"
Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
- Rossi, Barbara, 2013. "Exchange Rate Predictability," CEPR Discussion Papers 9575, C.E.P.R. Discussion Papers.
- Barbara Rossi, 2015. "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.
- Khyati Kathuria & Nand Kumar, 2022. "Pandemic‐induced fear and government policy response as a measure of uncertainty in the foreign exchange market: Evidence from (a)symmetric wild bootstrap likelihood ratio test," Pacific Economic Review, Wiley Blackwell, vol. 27(4), pages 361-379, October.
- Daniel Andrés Jaimes Cárdenas & Jair Ojeda Joya, 2010.
"Reglas de Taylor y previsibilidad fuera de muestra de la tasa de cambio en Latinoamérica,"
Borradores de Economia
619, Banco de la Republica de Colombia.
- Daniel Andrés Jaimes Cárdenas & jair Ojeda Joya, 2010. "Reglas de Taylor y previsibilidad fuera de muestra de la tasa de cambio en Latinoamérica," Borradores de Economia 7308, Banco de la Republica.
- Engel, Charles, 2014.
"Exchange Rates and Interest Parity,"
Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 453-522,
Elsevier.
- Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
- Martin McCarthy, Stephen Snudden, 2024. "Forecasts of Period-Average Exchange Rates: New Insights from Real-Time Daily Data," LCERPA Working Papers jc0148, Laurier Centre for Economic Research and Policy Analysis, revised Oct 2024.
- Charles Engel & Nelson C. Mark & Kenneth D. West, 2015.
"Factor Model Forecasts of Exchange Rates,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 32-55, February.
- Nelson Mark, 2008. "Factor Model Forecasts of Exchange Rates," Working Papers 012, University of Notre Dame, Department of Economics, revised Jan 2012.
- Charles Engel & Nelson C. Mark & Kenneth D. West, 2012. "Factor Model Forecasts of Exchange Rates," NBER Working Papers 18382, National Bureau of Economic Research, Inc.
- Nelson Mark, 2012.
"Exchange Rates as Exchange Rate Common Factors,"
Working Papers
011, University of Notre Dame, Department of Economics, revised Mar 2012.
- Ryan Greenaway-McGrevy & Nelson C. Mark & Donggyu Sul & Jyh-Lin Wu, 2012. "Exchange Rates as Exchange Rate Common Factors," Working Papers 212012, Hong Kong Institute for Monetary Research.
- 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.
- Jose Luiz Rossi Jr & Wilson Felíci, 2014. "Common Factors And The Exchange Rate: Results From The Brazilian Case," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 125, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Fan, Haichao & Li, Yao Amber & Zhao, Chen Carol, 2018. "Margins of imports, forward-looking firms, and exchange rate movements," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 185-202.
- 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.
- Philippe Bacchetta & Eric van Wincoop & Toni Beutler, 2010.
"Can Parameter Instability Explain the Meese-Rogoff Puzzle?,"
NBER Chapters, in: NBER International Seminar on Macroeconomics 2009, pages 125-173,
National Bureau of Economic Research, Inc.
- Philippe Bacchetta & Eric van Wincoop & Toni Beutler, 2010. "Can Parameter Instability Explain the Meese-Rogoff Puzzle?," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 6(1), pages 125-173.
- Philippe Bacchetta & Eric van Wincoop & Toni Beutler, 2009. "Can Parameter Instability Explain the Meese-Rogoff Puzzle?," Cahiers de Recherches Economiques du Département d'économie 09.08, Université de Lausanne, Faculté des HEC, Département d’économie.
- Bacchetta, Philippe & van Wincoop, Eric & Beutler, Toni, 2009. "Can Parameter Instability Explain the Meese-Rogoff Puzzle?," CEPR Discussion Papers 7383, C.E.P.R. Discussion Papers.
- Philippe Bacchetta & Eric van Wincoop & Toni Beutler, 2009. "Can Parameter Instability Explain the Meese-Rogoff Puzzle?," Working Papers 09.04, Swiss National Bank, Study Center Gerzensee.
- Chang, Ming-Jen & Su, Che-Yi, 2014. "The dynamic relationship between exchange rates and macroeconomic fundamentals: Evidence from Pacific Rim countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 220-246.
- Fraire, Francisco & Leatham, David J., 2006. "Decision Making Tool to Hedge Exchange Rate Risk," 2006 Agricultural and Rural Finance Markets in Transition, October 2-3, 2006, Washington, DC 133082, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
- Felício, Wilson Rafael de Oliveira & Rossi, José Luiz Júnior, 2013.
"Common factors and the exchange rate: results from the Brazilian case,"
Insper Working Papers
wpe_318, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Jose Luiz Rossi Jr & Wilson Felíci, 2014. "Common Factors And The Exchange Rate: Results From The Brazilian Case," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 125, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Badi H. Baltagi, 2008.
"Forecasting with panel data,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 153-173.
- Baltagi, Badi H., 2006. "Forecasting with panel data," Discussion Paper Series 1: Economic Studies 2006,25, Deutsche Bundesbank.
- Badi H. Baltagi, 2007. "Forecasting with Panel Data," Center for Policy Research Working Papers 91, Center for Policy Research, Maxwell School, Syracuse University.
- Prasad S Bhattacharya & Dimitrios D Thomakos, 2011. "Improving forecasting performance by window and model averaging," CAMA Working Papers 2011-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Baltagi, Badi H., 2013. "Panel Data Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 995-1024, Elsevier.
- Ryan Greenaway‐McGrevy & Nelson C. Mark & Donggyu Sul & Jyh‐Lin Wu, 2018.
"Identifying Exchange Rate Common Factors,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 59(4), pages 2193-2218, November.
- Ryan Greenaway-McGrevy & Donggyu Sul & Nelson Mark & Jyh-Lin Wu, 2017. "Identifying Exchange Rate Common Factors," NBER Working Papers 23726, National Bureau of Economic Research, Inc.
- Sarthak Behera & Hyeongwoo Kim, 2019. "Forecasting Dollar Real Exchange Rates and the Role of Real Activity Factors," Auburn Economics Working Paper Series auwp2019-04, Department of Economics, Auburn University.
- Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2016. "The implications of monetary expansion in China for the US dollar," Journal of Asian Economics, Elsevier, vol. 46(C), pages 71-84.
- 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.
- Badi H. Baltagi, 2021.
"Dynamic Panel Data Models,"
Springer Texts in Business and Economics, in: Econometric Analysis of Panel Data, edition 6, chapter 0, pages 187-228,
Springer.
- Badi H. Baltagi, 2013. "Dynamic panel data models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 10, pages 229-248, Edward Elgar Publishing.
- F. Pancotto & G. Pignataro & D. Raggi, 2014. "Higher order beliefs and the dynamics of exchange rates," Working Papers wp957, Dipartimento Scienze Economiche, Universita' di Bologna.
- 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).
- Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen, 2019. "Assessing predictive accuracy in panel data models with long-range dependence," CREATES Research Papers 2019-04, Department of Economics and Business Economics, Aarhus University.
- Hyeyoen Kim, 2011. "Large Data Sets, Nonlinearity and the Speed of Adjustment to Real Exchange Rate Shocks," Post-Print hal-00665456, HAL.
- De Grauwe, Paul & Markiewicz, Agnieszka, 2013.
"Learning to forecast the exchange rate: Two competing approaches,"
Journal of International Money and Finance, Elsevier, vol. 32(C), pages 42-76.
- Paul De Grauwe & Agnieszka Markiewicz, 2006. "Learning to Forecast the Exchange Rate: Two Competing Approaches," CESifo Working Paper Series 1717, CESifo.
- Paul De Grauwe & Agnieszka Markiewicz, 2006. "Learning to Forecast the Exchange Rate: Two Competing Approaches," Computing in Economics and Finance 2006 367, Society for Computational Economics.
- 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.
- Charles Engel & Nelson C. Mark & Kenneth D. West, 2007. "Exchange Rate Models Are Not as Bad as You Think," NBER Working Papers 13318, National Bureau of Economic Research, Inc.
- José Luiz Rossi Júnior & Pedro Fontoura & Marina Rossi, 2023. "Are Global Factors Useful for Forecasting the Exchange Rate?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(6), pages 1-14.
- 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.
- Kalok Chan & Yiuman Tse & Michael Williams, 2011. "The Relationship between Commodity Prices and Currency Exchange Rates: Evidence from the Futures Markets," NBER Chapters, in: Commodity Prices and Markets, pages 47-71, National Bureau of Economic Research, Inc.
- Menzie D. Chinn, 2010. "Comment on "Can Parameter Instability Explain the Meese-Rogoff Puzzle?"," NBER Chapters, in: NBER International Seminar on Macroeconomics 2009, pages 174-179, National Bureau of Economic Research, Inc.
- Felício, Wilson Rafael de Oliveira & Rossi, José Luiz J., 2012. "The Usefulness of factor models in forecasting the exchange rate: results from the Brazilian case," Insper Working Papers wpe_273, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Daniel L. Thornton, 2019.
"Resolving the unbiasedness and forward premium puzzles,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 5-27, February.
- Daniel L. Thornton, 2007. "Resolving the unbiasedness and forward premium puzzles," Working Papers 2007-014, Federal Reserve Bank of St. Louis.
- Narayan, Seema & Smyth, Russell, 2015.
"The financial econometrics of price discovery and predictability,"
International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
- Seema Narayan & Russell Smyth, 2015. "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers 06-15, Monash University, Department of Economics.
- Berg, Kimberly A. & Mark, Nelson C., 2015.
"Third-country effects on the exchange rate,"
Journal of International Economics, Elsevier, vol. 96(2), pages 227-243.
- Nelson Mark & Kimberly Berg, 2013. "Third-Country Effects on the Exchange Rate," 2013 Meeting Papers 1050, Society for Economic Dynamics.
- Wu, Jyh-Lin & Wang, Yi-Chiuan, 2013. "Fundamentals, forecast combinations and nominal exchange-rate predictability," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 129-145.
- Marcelo Moura, 2010.
"Testing the Taylor Model Predictability for Exchange Rates in Latin America,"
Open Economies Review, Springer, vol. 21(4), pages 547-564, September.
- Moura, Marcelo, 2008. "Testing the Taylor Model Predictability for Exchange Rates in Latin America," Insper Working Papers wpe_119, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Jair N. Ojeda-Joya, 2014.
"A Consumption-Based Approach to Exchange Rate Predictability,"
Borradores de Economia
857, Banco de la Republica de Colombia.
- Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," Borradores de Economia 12339, Banco de la Republica.
- Ojeda-Joya, Jair, 2019. "A consumption-based approach to exchange rate predictability," MPRA Paper 94231, University Library of Munich, Germany.
- Morales-Arias, Leonardo & Moura, Guilherme V., 2013.
"Adaptive forecasting of exchange rates with panel data,"
International Journal of Forecasting, Elsevier, vol. 29(3), pages 493-509.
- Leonardo Morales-Arias & Alexander Dross, 2010. "Adaptive Forecasting of Exchange Rates with Panel Data," Research Paper Series 285, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- Tobias Adrian & Erkko Etula & Hyun Song Shin, 2009.
"Risk appetite and exchange Rates,"
Staff Reports
361, Federal Reserve Bank of New York.
- Hyun Song Shin & Erkko Etula & Tobias Adrian, 2010. "Risk Appetite and Exchange Rates," 2010 Meeting Papers 311, Society for Economic Dynamics.
- 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.
- Galimberti, Jaqueson K. & Moura, Marcelo L., 2010. "Taylor Rules and Exchange Rate Predictability in Emerging Economies," Insper Working Papers wpe_214, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Alexius, Annika & Post, Erik, 2006. "Cointegration and the stabilizing role of exchange rates," Working Paper Series 2006:8, Uppsala University, Department of Economics.
- Chakraborty, Avik, 2009. "Learning, The Forward Premium Puzzle, And Market Efficiency," Macroeconomic Dynamics, Cambridge University Press, vol. 13(S1), pages 31-57, May.
- Yung, Julieta, 2021.
"Can interest rate factors explain exchange rate fluctuations?,"
Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
- Julieta Yung, 2014. "Can interest rate factors explain exchange rate fluctuations?," Globalization Institute Working Papers 207, Federal Reserve Bank of Dallas.
- Sajid Ali, 2016. "How does Interest rate effect Exchange rate of Pakistan. Evidence of ARDL Bound Testing Approach," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 1(2), pages 119-133, October.
- Nautz, Dieter & Offermanns, Christian J., 2006. "Does the Euro follow the German Mark? Evidence from the monetary model of the exchange rate," European Economic Review, Elsevier, vol. 50(5), pages 1279-1295, July.
- Hsiu-Hsin Ko, 2016. "Exchange Rate Predictability in Finite Samples," The Japanese Economic Review, Japanese Economic Association, vol. 67(3), pages 361-378, September.
- repec:fgv:epgrbe:v:68:n:1:a:3 is not listed on IDEAS
- Norman C. Miller, 2014. "Exchange Rate Economics," Books, Edward Elgar Publishing, number 14981, March.
- Pu, Xiaoling & Zhang, Jianing, 2012. "Can dual-currency sovereign CDS predict exchange rate returns?," Finance Research Letters, Elsevier, vol. 9(3), pages 157-166.
- Yiuman Tse, 2010. "The Relationship between Commodity Prices and Currency Exchange Rates: Evidence from the Futures Markets," Working Papers 0005, College of Business, University of Texas at San Antonio.
- Sarthak Behera & Hyeongwoo Kim & Soohyon Kim, 2025. "Asymmetric Roles of Macroeconomic Variables in the Real Exchange Rate: Insights from U.S.-Korea Data," Auburn Economics Working Paper Series auwp2025-01, Department of Economics, Auburn University.
- Jan J J Groen & Clare Lombardelli, 2004. "Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis," Bank of England working papers 223, Bank of England.