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Can the Markov switching model forecast exchange rates? · Study

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ArticleCan the Markov switching model forecast exchange rates?

Charles Engel1994

Article1994

Can the Markov switching model forecast exchange rates?

415 citations·0/0 files stored·Journal of International Economics

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1983Empirical exchange rate models of the seventies 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?1990Nonparametric exchange rate prediction?1991Economic Forecast Evaluation: Profits versus the Conventional Error Measures 1995Banking on currency forecasts: How predictable is change in money?

Cited by

1995The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence 1998Forecasting the U.S. Unemployment Rate 2003The out-of-sample success of term structure models as exchange rate predictors: a step beyond 2015The impact of oil shocks on exchange rates: A Markov-switching approach 2003Exchange rate forecasting: the errors we’ve really made 1999Modeling non-linearities in real effective exchange rates 1999Why do regime-switching models forecast so badly?2008

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1999Why do regime-switching models forecast so badly?article · 6 shared references 2009New evidence on nominal exchange rate predictabilityarticle · 5 shared references 2003The out-of-sample success of term structure models as exchange rate predictors: a step beyondarticle · 4 shared references 1995Chapter 33 Empirical research on nominal exchange rateschapter · 4 shared references 2018Exchange rate prediction redux: New models, new data, new currenciesarticle · 4 shared references 1993Modelling and forecasting exchange rates with a Bayesian time-varying coefficient modelarticle · 4 shared references

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Year1994

Typearticle

Published1994-02-01

VenueJournal of International Economics

ISSN-L0022-1996

Languageen

Citations415

Files0 public / 0

ShelfForecasting Techniques and Applications

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doi10.1016/0022-1996(94)90062-0

openalex_workW2005204582

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The asymmetric effects of oil shocks on output growth: A Markov–Switching analysis for the G-7 countries