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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. Kenneth D. West, 2012. "Econometric Analysis of Present Value Models When the Discount Factor Is near One," NBER Working Papers 18247, National Bureau of Economic Research, Inc.
  2. repec:eco:journ1:2014-04-17 is not listed on IDEAS
  3. 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.
  4. Todd E. Clark & Michael W. McCracken, 2009. "Nested forecast model comparisons: a new approach to testing equal accuracy," Research Working Paper RWP 09-11, Federal Reserve Bank of Kansas City.
  5. 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.
  6. 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.
  7. 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.
  8. Ryan Greenaway-McGrevy & Nelson C. Mark & Donggyu Sul & Jyh-Lin Wu, 2012. "Exchange Rates as Exchange Rate Common Factors," Working Papers 212012, Hong Kong Institute for Monetary Research.
  9. 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.
  10. Inoue, Atsushi & Rossi, Barbara, 2011. "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," CEPR Discussion Papers 8542, C.E.P.R. Discussion Papers.
  11. Apergis, Nicholas, 2014. "Can gold prices forecast the Australian dollar movements?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 75-82.
  12. Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," BORRADORES DE ECONOMIA 012339, BANCO DE LA REPÚBLICA.
  13. Hsiu-Hsin Ko & Masao Ogaki, 2013. "Granger Causality from Exchange Rates to Fundamentals: What Does the Bootstrap Test Show Us?," RCER Working Papers 577, University of Rochester - Center for Economic Research (RCER).
  14. Hyeongwoo Kim & Masao Ogaki, 2011. "Purchasing Power Parity and the Taylor Rule," Auburn Economics Working Paper Series auwp2011-02, Department of Economics, Auburn University.
  15. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
  16. Nikolsko-Rzhevskyy, Alex & Prodan, Ruxandra, 2012. "Markov switching and exchange rate predictability," International Journal of Forecasting, Elsevier, vol. 28(2), pages 353-365.
  17. 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.
  18. 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.
  19. 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.
  20. Rudan Wang & Bruce Morley & Javier Ordóñez, 2015. "The Taylor Rule, Wealth Effects and the Exchange Rate," Working Papers 2015/08, Economics Department, Universitat Jaume I, Castellón (Spain).
  21. 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.
  22. 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.
  23. Yu-chin Chen & Kwok Ping Tsang, 2010. "A Macro-Finance Approach to Exchange Rate Determination," Working Papers e07-19, Virginia Polytechnic Institute and State University, Department of Economics.
  24. Medel, Carlos & Camilleri, Gilmour & Hsu, Hsiang-Ling & Kania, Stefan & Touloumtzoglou, Miltiadis, 2015. "Robustness in Foreign Exchange Rate Forecasting Models: Economics-based Modelling After the Financial Crisis," MPRA Paper 65290, University Library of Munich, Germany.
  25. Domenico Ferraro & Ken Rogoff & Barbara Rossi, 2011. "Can Oil Prices Forecast Exchange Rates?," Working Papers 11-05, Duke University, Department of Economics.
  26. Philippe Bacchetta & Eric van Wincoop & Toni Beutler, 2009. "Can Parameter Instability Explain the Meese-Rogoff Puzzle?," Working Papers 09.04, Swiss National Bank, Study Center Gerzensee.
  27. 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.
  28. 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.
  29. Berg, Kimberly A. & Mark, Nelson C., 2015. "Third-country effects on the exchange rate," Journal of International Economics, Elsevier, vol. 96(2), pages 227-243.
  30. Gary Koop & Dimitris Korobilis, 2014. "Model Uncertainty in Panel Vector Autoregressive Models," Working Paper Series 39_14, The Rimini Centre for Economic Analysis.
  31. Menzie D. Chinn & Ron Alquist, 2006. "Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment," NBER Working Papers 12481, National Bureau of Economic Research, Inc.
  32. 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.
  33. Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," MPRA Paper 58956, University Library of Munich, Germany.
  34. Mahir Binici & Yin-Wong Cheung, 2011. "Exchange Rate Dynamics under Alternative Optimal Interest Rate Rules," CESifo Working Paper Series 3577, CESifo Group Munich.
  35. Demosthenes N. Tambakis & Nikola Tarashev, 2012. "Systematic monetary policy and the forward premium puzzle," BIS Working Papers 396, Bank for International Settlements.
  36. 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.
  37. 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.
  38. Jiang, Lei, 2014. "Stock liquidity and the Taylor rule," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 202-214.
  39. Onur Ince & Tanya Molodtsova, 2013. "Real-Time Out-of-Sample Exchange Rate Predictability," Working Papers 13-03, Department of Economics, Appalachian State University.
  40. 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.
  41. 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.
  42. 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.
  43. repec:csg:ajrcwp:05 is not listed on IDEAS
  44. Juan de Dios Tena & Edoardo Otranto, 2011. "A realistic model for official interest rate movements and their consequences," Applied Economics, Taylor & Francis Journals, vol. 43(29), pages 4431-4447.
  45. 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.
  46. Cho, Dooyeon & Doblas-Madrid, Antonio, 2014. "Trade intensity and purchasing power parity," Journal of International Economics, Elsevier, vol. 93(1), pages 194-209.
  47. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
  48. Nelson Mark & Kimberly Berg, 2013. "Third-Country Effects on the Exchange Rate," 2013 Meeting Papers 1050, Society for Economic Dynamics.
  49. Arteta, Carlos & Kamin, Steven B. & Vitanza, Justin, 2011. "The puzzling peso," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1814-1835.
  50. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2015. "Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 116-141.
  51. Gitanjali Kumar, 2013. "High-Frequency Real Economic Activity Indicator for Canada," Working Papers 13-42, Bank of Canada.
  52. Chen, Qianying, 2011. "Exchange rate dynamics, expectations, and monetary policy," Discussion Paper Series 1: Economic Studies 2011,18, Deutsche Bundesbank, Research Centre.
  53. Garratt, Anthony & Mise, Emi, 2014. "Forecasting exchange rates using panel model and model averaging," Economic Modelling, Elsevier, vol. 37(C), pages 32-40.
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