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Citations for "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting"

by Kenneth S. Rogoff & Vania Stavrakeva

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  1. Bacchetta, Philippe & Beutler, Toni & van Wincoop, Eric, 2009. "Can Parameter Instability Explain the Meese-Rogoff Puzzle?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7383, C.E.P.R. Discussion Papers.
  2. Giacomini, Raffaella & Rossi, Barbara, 2008. "Forecast Comparisons in Unstable Environments," Working Papers, Duke University, Department of Economics 08-04, Duke University, Department of Economics.
  3. R Naraidoo & I Paya, 2010. "Forecasting Monetary Policy Rules in South Africa," Working Papers 611194, Lancaster University Management School, Economics Department.
  4. Daniel Andrés Jaimes Cárdenas & Jair Ojeda Joya, . "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.
  5. Galimberti, Jaqueson K. & Moura, Marcelo L., 2010. "Taylor Rules and Exchange Rate Predictability in Emerging Economies," Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa wpe_214, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  6. Della Corte, P. & Sarno, L. & Sestieri, G., 2011. "The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?," Working papers, Banque de France 313, Banque de France.
  7. Wei Dong & Deokwoo Nam, 2011. "Exchange Rates and Individual Good’s Price Misalignment: Some Preliminary Evidence of Long-Horizon Predictability," Discussion Papers 11-8, Bank of Canada.
  8. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers, Duke University, Department of Economics 11-20, Duke University, Department of Economics.
  9. Bekiros, Stelios D., 2014. "Exchange rates and fundamentals: Co-movement, long-run relationships and short-run dynamics," Journal of Banking & Finance, Elsevier, Elsevier, vol. 39(C), pages 117-134.
  10. Domenico Ferraro & Ken Rogoff & Barbara Rossi, 2011. "Can oil prices forecast exchange rates?," Working Papers 11-34, Federal Reserve Bank of Philadelphia.
  11. repec:lan:wpaper:2444 is not listed on IDEAS
  12. Chen, Yu-chin & Rogoff, Kenneth & Rossi, Barbara, 2008. "Can Exchange Rates Forecast Commodity Prices?," Working Papers, Duke University, Department of Economics 08-03, Duke University, Department of Economics.
  13. Chuluun, Tuugi & Eun, Cheol S. & Kiliç, Rehim, 2011. "Investment intensity of currencies and the random walk hypothesis: Cross-currency evidence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(2), pages 372-387, February.
  14. Roman Frydman & Edmund S. Phelps, 2013. "Which Way Forward for Macroeconomics and Policy Analysis?
    [Rethinking Expectations: The Way Forward for Macroeconomics]
    ," Introductory Chapters, Princeton University Press.
  15. López-Suárez, Carlos Felipe & Rodríguez-López, José Antonio, 2011. "Nonlinear exchange rate predictability," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(5), pages 877-895, September.
  16. Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH, 2013. "Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 14-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  17. Rossi, Barbara, 2013. "Exchange Rate Predictability," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9575, C.E.P.R. Discussion Papers.
  18. repec:lan:wpaper:2364 is not listed on IDEAS
  19. Tobias Adrian & Erkko Etula & Hyun Song Shin, 2009. "Global liquidity and exchange rates," Staff Reports, Federal Reserve Bank of New York 361, Federal Reserve Bank of New York.
  20. Philippe Bacchetta & Eric van Wincoop, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," NBER Working Papers 15008, National Bureau of Economic Research, Inc.
  21. Demosthenes N. Tambakis & Nikola Tarashev, 2012. "Systematic monetary policy and the forward premium puzzle," BIS Working Papers 396, Bank for International Settlements.
  22. Joseph Byrne & Dimitris Korobilis & Pinho Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Papers 1403.0627, arXiv.org.
  23. Ince, Onur, 2014. "Forecasting exchange rates out-of-sample with panel methods and real-time data," Journal of International Money and Finance, Elsevier, Elsevier, vol. 43(C), pages 1-18.
  24. Mahir Binici & Yin-Wong Cheung, 2011. "Exchange Rate Dynamics under Alternative Optimal Interest Rate Rules," CESifo Working Paper Series 3577, CESifo Group Munich.
  25. Arash, Aloosh, 2011. "Variance Risk Premium Differentials and Foreign Exchange Returns," MPRA Paper 40829, University Library of Munich, Germany, revised 18 Aug 2012.
  26. Richard Ashley & Haichun Ye, 2012. "On the Granger causality between median inflation and price dispersion," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 44(32), pages 4221-4238, November.
  27. Daniela Federici & Giancarlo Gandolfo, 2011. "The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade c016_035, DEGIT, Dynamics, Economic Growth, and International Trade.
  28. Junttila, Juha & Korhonen, Marko, 2011. "Nonlinearity and time-variation in the monetary model of exchange rates," Journal of Macroeconomics, Elsevier, Elsevier, vol. 33(2), pages 288-302, June.
  29. Andrew Filardo & Guonan Ma & Dubravko Mihaljek, 2011. "Exchange rate and monetary policy frameworks in EMEs," BIS Papers chapters, in: Bank for International Settlements (ed.), Capital flows, commodity price movements and foreign exchange intervention, volume 57, pages 37-63 Bank for International Settlements.
  30. Hyun Song Shin & Erkko Etula & Tobias Adrian, 2010. "Risk Appetite and Exchange Rates," 2010 Meeting Papers, Society for Economic Dynamics 311, Society for Economic Dynamics.
  31. Carlos Garcia & Pablo Gonzalez & Antonio Moncado, 2010. "Proyecciones Macroeconómicas en Chile: Una Aproximación Bayesiana," ILADES-Georgetown University Working Papers, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines inv262, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines.
  32. repec:lan:wpaper:2587 is not listed on IDEAS
  33. Yu-chin Chen & Kwok Ping Tsang, 2010. "What Does the Yield Curve Tell Us about Exchange Rate Predictability?," Working Papers 292010, Hong Kong Institute for Monetary Research.
  34. Shiu-Sheng, Chen, 2012. "Predicting swings in exchange rates with macro fundamentals," MPRA Paper 35772, University Library of Munich, Germany.
  35. Ercio Muñoz & Miguel Ricaurte & Mariel Siravegna, 2012. "Combinación de Proyecciones para el Precio del Petróleo: Aplicación y Evaluación de Metodologías," Working Papers Central Bank of Chile, Central Bank of Chile 660, Central Bank of Chile.
  36. Akhter Faroque & William Veloce & Jean-Francois Lamarche, 2012. "Have structural changes eliminated the out-of-sample ability of financial variables to forecast real activity after the mid-1980s? Evidence from the Canadian economy," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 44(30), pages 3965-3985, October.
  37. Inoue, Atsushi & Rossi, Barbara, 2011. "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8542, C.E.P.R. Discussion Papers.
  38. Prasad S Bhattacharya & Dimitrios D Thomakos, 2011. "Improving forecasting performance by window and model averaging," Economics Series 2011_1, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  39. Momtchil Pojarliev & Richard M. Levich, 2010. "Detecting Crowded Trades in Currency Funds," NBER Working Papers 15698, National Bureau of Economic Research, Inc.
  40. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013. "Further evidence on bear market predictability: The role of the external finance premium," MPRA Paper 49093, University Library of Munich, Germany.
  41. Peter H. Sullivan, 2013. "Finding a Connection Between Exchange Rates and Fundamentals, How Should We Model Revisions to Forecasting Strategies?," 2013 Papers, Job Market Papers psu387, Job Market Papers.
  42. Victor Pontines & Reza Siregar, 2012. "Exchange Rate Appreciation, Capital Flows and Excess Liquidity: Adjustment and Effectiveness of Policy Responses," Research Studies, South East Asian Central Banks (SEACEN) Research and Training Centre, number rp87, June.
  43. Zebedee Nii-Naate & Alison Burrell, 2012. "Partial stochastic analysis with the European Commission's version of the AGLINK-COSIMO model," JRC-IPTS Working Papers JRC76019, Institute for Prospective and Technological Studies, Joint Research Centre.
  44. Molodtsova, Tanya & Papell, David H., 2009. "Out-of-sample exchange rate predictability with Taylor rule fundamentals," Journal of International Economics, Elsevier, Elsevier, vol. 77(2), pages 167-180, April.
  45. Dimitris Christopoulos & Miguel A. León-Ledesma, 2009. "On causal Relationships Between Exchange Rates and Fundamentals: Better Than You Think," Studies in Economics, Department of Economics, University of Kent 0909, Department of Economics, University of Kent.
  46. Ronald MacDonald & Lukas Menkhoff & Rafael R. Rebitzky, 2009. "Exchange rate forecasters’ performance: evidence of skill?," Working Papers, Business School - Economics, University of Glasgow 2009_13, Business School - Economics, University of Glasgow.
  47. Federici, Daniela & Gandolfo, Giancarlo, 2012. "The Euro/Dollar exchange rate: Chaotic or non-chaotic? A continuous time model with heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 36(4), pages 670-681.
  48. Kenneth Rogoff, 2009. "Exchange rates in the modern floating era: what do we really know?," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 145(1), pages 1-12, April.
  49. Erkko Etula, 2009. "Broker-dealer risk appetite and commodity returns," Staff Reports, Federal Reserve Bank of New York 406, Federal Reserve Bank of New York.
  50. Garratt, Anthony & Mise, Emi, 2014. "Forecasting exchange rates using panel model and model averaging," Economic Modelling, Elsevier, Elsevier, vol. 37(C), pages 32-40.