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Citations for "Out-of-sample exchange rate predictability with Taylor rule fundamentals"

by Molodtsova, Tanya & Papell, David H.

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  1. Garratt, Anthony & Mise, Emi, 2014. "Forecasting exchange rates using panel model and model averaging," Economic Modelling, Elsevier, vol. 37(C), pages 32-40.
  2. West, Kenneth D., 2012. "Econometric analysis of present value models when the discount factor is near one," Journal of Econometrics, Elsevier, vol. 171(1), pages 86-97.
  3. Clark, Todd E. & McCracken, Michael W., 2015. "Nested forecast model comparisons: A new approach to testing equal accuracy," Journal of Econometrics, Elsevier, vol. 186(1), pages 160-177.
  4. Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," Borradores de Economia 857, Banco de la Republica de Colombia.
  5. 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 007308, BANCO DE LA REPÚBLICA.
  6. 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.
  7. Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Papers 2014_03, Business School - Economics, University of Glasgow.
  8. Jiang, Lei, 2014. "Stock liquidity and the Taylor rule," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 202-214.
  9. Josh R. Stillwagon, 2014. "Non-Linear Exchange Rate Relationships: An Automated Model Selection Approach with Indicator Saturation," Working Papers 1405, Trinity College, Department of Economics.
  10. Arteta, Carlos & Kamin, Steven B. & Vitanza, Justin, 2011. "The puzzling peso," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1814-1835.
  11. Mahir Binici & Yin-Wong Cheung, 2011. "Exchange Rate Dynamics Under Alternative Optimal Interest Rate Rules," Working Papers 362011, Hong Kong Institute for Monetary Research.
  12. Philippe Bacchetta & Eric van Wincoop & Toni Beutler, 2009. "Can Parameter Instability Explain the Meese-Rogoff Puzzle?," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 09.08, Université de Lausanne, Faculté des HEC, DEEP.
  13. Yu-chin Chen & Kwok Ping Tsang, 2011. "A Macro-Finance Approach to Exchange Rate Determination," Working Papers 012011, Hong Kong Institute for Monetary Research.
  14. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
  15. Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," Working Papers 2014_16, Business School - Economics, University of Glasgow.
  16. Masao Ogaki & Hyeongwoo Kim, 2009. "Purchasing Power Parity and the Taylor Rule," Working Papers 09-03, Ohio State University, Department of Economics.
  17. Cho, Dooyeon & Doblas-Madrid, Antonio, 2014. "Trade intensity and purchasing power parity," Journal of International Economics, Elsevier, vol. 93(1), pages 194-209.
  18. Ron Alquist & Menzie D. Chinn, 2008. "Conventional and unconventional approaches to exchange rate modelling and assessment," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 2-13.
  19. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2011. "Can Oil Prices Forecast Exchange Rates?," CEPR Discussion Papers 8635, C.E.P.R. Discussion Papers.
  20. Gary Koop & Dimitris Korobilis, 2014. "Model uncertainty in panel vector autoregressive models," Working Papers 1408, University of Strathclyde Business School, Department of Economics.
  21. Christophe Amat & Tomasz Michalski & Gilles Stoltz, 2014. "Forecasting exchange rates better than the random walk thanks to machine learning techniques," Working Papers halshs-01003914, HAL.
  22. Demosthenes N. Tambakis & Nikola Tarashev, 2012. "Systematic monetary policy and the forward premium puzzle," BIS Working Papers 396, Bank for International Settlements.
  23. Nikolsko-Rzhevskyy, Alex & Prodan, Ruxandra, 2012. "Markov switching and exchange rate predictability," International Journal of Forecasting, Elsevier, vol. 28(2), pages 353-365.
  24. Dagfinn Rime & Lucio Sarno & Elvira Sojli, 2007. "Exchange rate forecasting, order flow and macroeconomic information," Working Paper 2007/02, Norges Bank.
  25. Chen, Shiu-Sheng & Chou, Yu-Hsi, 2012. "Rational expectations, changing monetary policy rules, and real exchange rate dynamics," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2824-2836.
  26. Onur Ince & Tanya Molodtsova, 2013. "Real-Time Out-of-Sample Exchange Rate Predictability," Working Papers 13-03, Department of Economics, Appalachian State University.
  27. Nelson Mark, 2012. "Exchange Rates as Exchange Rate Common Factors," Working Papers 011, University of Notre Dame, Department of Economics, revised Mar 2012.
  28. Peter H. Sullivan, 2013. "Finding a Connection Between Exchange Rates and Fundamentals, How Should We Model Revisions to Forecasting Strategies?," 2013 Papers psu387, Job Market Papers.
  29. Chen, Qianying, 2011. "Exchange rate dynamics, expectations, and monetary policy," Discussion Paper Series 1: Economic Studies 2011,18, Deutsche Bundesbank, Research Centre.
  30. Apergis, Nicholas & Zestos, George K. & Shaltayev, Dmitriy S., 2012. "Do market fundamentals determine the Dollar–Euro exchange rate?," Journal of Policy Modeling, Elsevier, vol. 34(1), pages 1-15.
  31. Junttila, Juha & Korhonen, Marko, 2011. "Nonlinearity and time-variation in the monetary model of exchange rates," Journal of Macroeconomics, Elsevier, vol. 33(2), pages 288-302, June.
  32. Barbara Rossi & Atsushi Inoue, 2012. "Out-of-sample forecast tests robust to the choice of window size," Economics Working Papers 1404, Department of Economics and Business, Universitat Pompeu Fabra.
  33. Onur Ince, 2013. "Forecasting Exchange Rates Out-of-Sample with Panel Methods and Real-Time Data," Working Papers 13-04, Department of Economics, Appalachian State University.
  34. Joscha Beckmann & Rainer Schüssler, 2014. "Forecasting Exchange Rates under Model and Parameter Uncertainty," CQE Working Papers 3214, Center for Quantitative Economics (CQE), University of Muenster.
  35. Berger, Tino & Kempa, Bernd, 2012. "Taylor rules and the Canadian–US equilibrium exchange rate," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1060-1075.
  36. Gitanjali Kumar, 2013. "High-Frequency Real Economic Activity Indicator for Canada," Working Papers 13-42, Bank of Canada.
  37. repec:csg:ajrcwp:05 is not listed on IDEAS
  38. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
  39. Nelson Mark & Kimberly Berg, 2013. "Third-Country Effects on the Exchange Rate," 2013 Meeting Papers 1050, Society for Economic Dynamics.
  40. Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2015. "Exchange rate forecasts and expected fundamentals," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 235-256.
  41. repec:eco:journ1:2014-04-17 is not listed on IDEAS
  42. Viktoria Hnatkovska & Amartya Lahiri & Carlos A. Vegh, 2008. "Interest Rates and the Exchange Rate: A Non-Monotonic Tale," NBER Working Papers 13925, National Bureau of Economic Research, Inc.
  43. Apergis, Nicholas, 2014. "Can gold prices forecast the Australian dollar movements?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 75-82.
  44. 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.
  45. 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.
  46. 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.
  47. Ardic, Oya Pinar & Ergin, Onur & Senol, G. Bahar, 2008. "Exchange Rate Forecasting: Evidence from the Emerging Central and Eastern European Economies," MPRA Paper 7505, University Library of Munich, Germany.
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