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Comment on \"Taylor rule exchange rate forecasting during the financial crisis\"

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Abstract

In this note we discuss the paper on exchange rate forecasting by Molodtsova> and Papell (2012). In particular we discuss issues related to forecast origins and forecast> horizons when higher frequency exchange rate movements are predicted using lower> frequency quarterly macroaggregates.

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  • Michael W. McCracken, 2012. "Comment on \"Taylor rule exchange rate forecasting during the financial crisis\"," Working Papers 2012-030, Federal Reserve Bank of St. Louis.
    • Handle: RePEc:fip:fedlwp:2012-030
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    1. 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.
    2. 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.
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    Keywords

    Foreign exchange rates; Taylor's rule;

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