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Forecasting exchange rates of major currencies with long maturity forward rates

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Listed:
  • Zsolt Darvas
  • Zoltán Schepp

Abstract

This paper presents unprecedented exchange rate forecasting results based upon a new model which approximates the gap between the fundamental equilibr

Suggested Citation

  • Zsolt Darvas & Zoltán Schepp, 2020. "Forecasting exchange rates of major currencies with long maturity forward rates," Bruegel Working Papers 35829, Bruegel.
    • Handle: RePEc:bre:wpaper:35829
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    Cited by:

    1. Darvas, Zsolt & Schepp, Zoltán, 2024. "Exchange rates and fundamentals: Forecasting with long maturity forward rates," Journal of International Money and Finance, Elsevier, vol. 143(C).
    2. Ábel, István & Kóbor, Ádám, 2008. "Kamatkülönbözet, spekulációs profit és árfolyam-változékonyság [Interest-rate differentials, speculative capital flows and exchange-rate volatility]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 941-961.
    3. Darvas, Zsolt & Schepp, Zoltán, 2007. "Kelet-közép-európai devizaárfolyamok előrejelzése határidős árfolyamok segítségével [Forecasting the exchange rates of three Central-Eastern European currencies with forward exchange rates]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 501-528.
    4. Engel, Charles & Wu, Steve Pak Yeung, 2023. "Forecasting the U.S. Dollar in the 21st Century," Journal of International Economics, Elsevier, vol. 141(C).

    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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