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Comment on "Taylor Rule Exchange Rate Forecasting during the Financial Crisis"

In: NBER International Seminar on Macroeconomics 2012

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  • Michael W. McCracken

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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Suggested Citation

  • Michael W. McCracken, 2012. "Comment on "Taylor Rule Exchange Rate Forecasting during the Financial Crisis"," NBER Chapters,in: NBER International Seminar on Macroeconomics 2012, pages 98-105 National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberch:12775
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    1. Matteo Iacoviello, 2005. "House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle," American Economic Review, American Economic Association, pages 739-764.
    2. Nicholas Bloom, 2009. "The Impact of Uncertainty Shocks," Econometrica, Econometric Society, vol. 77(3), pages 623-685, May.
    3. Muellbauer, John & Murphy, Anthony, 1997. "Booms and Busts in the UK Housing Market," Economic Journal, Royal Economic Society, vol. 107(445), pages 1701-1727, November.
    4. Hubrich, Kirstin & Tetlow, Robert J., 2015. "Financial stress and economic dynamics: The transmission of crises," Journal of Monetary Economics, Elsevier, pages 100-115.
    5. Radde, Sören, 2015. "Flight to liquidity and the Great Recession," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 192-207.
    6. Hubrich, Kirstin & D’Agostino, Antonello & Cervená, Marianna & Ciccarelli, Matteo & Guarda, Paolo & Haavio, Markus & Jeanfils, Philippe & Mendicino, Caterina & Ortega, Eva & Valderrama, Maria Teresa &, 2013. "Financial shocks and the macroeconomy: heterogeneity and non-linearities," Occasional Paper Series 143, European Central Bank.
    7. Matteo Iacoviello, 2005. "House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle," American Economic Review, American Economic Association, pages 739-764.
    8. Emanuel Moench & Serena Ng, 2011. "A hierarchical factor analysis of U.S. housing market dynamics," Econometrics Journal, Royal Economic Society, vol. 14(1), pages 1-24, February.
    9. Hubrich, Kirstin & Tetlow, Robert J., 2015. "Financial stress and economic dynamics: The transmission of crises," Journal of Monetary Economics, Elsevier, pages 100-115.
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