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Long horizon predictability of exchange rates: Is it for real?
11 references·16 citing·42 second hop
Long horizon predictability of exchange rates: Is it for real? (1999)Long horizon predictability of exchange r…Exchange Rate Economics: What's Wrong with the Conventional Macro Approach? (1996)Exchange Rate Economics: What…A panel project on purchasing power parity: Mean reversion within and between countries (1996)A panel project on purchasing…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Banking on currency forecasts: How predictable is change in money? (1995)Banking on currency forecasts…The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk (1994)The monetary model of the exc…Stylized Facts of Nominal Exchange Rate Returns (1994)Stylized Facts of Nominal Exc…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyTHE POWER OF COINTEGRATION TESTS (1992)THE POWER OF COINTEGRATION TE…Estimating Long-Run Economic Equilibria (1991)Estimating Long-Run Economic …Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Identifying Exchange Rate Common Factors (2017)Identifying Exchange Rate Com…Enhancing the forecasting power of exchange rate models by introducing nonlinearity: Does it work? (2015)Enhancing the forecasting pow…Nested forecast model comparisons: A new approach to testing equal accuracy (2014)Nested forecast model compari…When Are Pooled Panel‐Data Regression Forecasts of Exchange Rates More Accurate than the Time‐Series Regression Forecasts? (2012)When Are Pooled Panel‐Data Re…Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy (2012)Nested Forecast Model Compari…FDI and Growth: What Cross‐country Industry Data Say (2012)FDI and Growth: What Cross‐co…Exchange Rates as Exchange Rate Common Factors (2012)Exchange Rates as Exchange Ra…ARE THE COMMODITY CURRENCIES AN EXCEPTION TO THE RULE? (2012)ARE THE COMMODITY CURRENCIES …Reality Checks and Comparisons of Nested Predictive Models (2011)Reality Checks and Comparison…Cross-section dependence and the monetary exchange rate model – A panel analysis (2011)Cross-section dependence and …Exchange rates and fundamentals under adaptive learning (2008)Exchange rates and fundamenta…Panel analysis of the monetary approach to exchange rates: Evidence from ten new EU members and Turkey (2007)Panel analysis of the monetar…How Well Do Monetary Fundamentals Forecast Exchange Rates? (2003)How Well Do Monetary Fundamen…Exchange Rates and Fundamentals: Evidence from Commodity Economies (2002)Exchange Rates and Fundamenta…Evaluating Long-Horizon Forecasts (2002)Evaluating Long-Horizon Forec…Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel (1998)Norminal Exchange Rates and M…Expectations and Exchange Rate Dynamics (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? 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(2005)Presidential Address: Discount Rates (2011)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Dynamic Econometrics (1995)Testing for Error Correction in Panel Data* (2007)Impact of renewable energy consumption and financial development on CO2 emissions and economic growth in the MENA region: A panel vector autoregressive (PVAR) analysis (2019)Purchasing Power Parity in the Long Run (1990)Perspectives on PPP and Long-Run Real Exchange Rates (1994)Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries (1996)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Nonstationary panels, cointegration in panels and dynamic panels: A survey (2004)Panel unit root tests under cross‐sectional dependence (2005)Long-Run Exchange Rate Modeling: A Survey of the Recent Evidence (1995)Order Flow and Exchange Rate Dynamics (1999)Purchasing Power Parity (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
this work references cited by second hop

References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1992THE POWER OF COINTEGRATION TESTS1,319 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 1991Estimating Long-Run Economic Equilibria854 cited
  • 1996A panel project on purchasing power parity: Mean reversion within and between countries681 cited
  • 1995Banking on currency forecasts: How predictable is change in money?373 cited
  • 1994The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk295 cited
  • 1996Exchange Rate Economics: What's Wrong with the Conventional Macro Approach?224 cited
  • 1994Stylized Facts of Nominal Exchange Rate Returns110 cited

Cited by

  • 2011Reality Checks and Comparisons of Nested Predictive Models87 cited
  • 2012FDI and Growth: What Cross‐country Industry Data Say77 cited
  • 2014Nested forecast model comparisons: A new approach to testing equal accuracy66 cited
  • 2002Evaluating Long-Horizon Forecasts

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61 cited
  • 1998Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel53 cited
  • 2012When Are Pooled Panel‐Data Regression Forecasts of Exchange Rates More Accurate than the Time‐Series Regression Forecasts?44 cited
  • 2012Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy38 cited
  • 2011Cross-section dependence and the monetary exchange rate model – A panel analysis33 cited
  • 2002Exchange Rates and Fundamentals: Evidence from Commodity Economies31 cited
  • 2003How Well Do Monetary Fundamentals Forecast Exchange Rates?31 cited
  • 2007Panel analysis of the monetary approach to exchange rates: Evidence from ten new EU members and Turkey29 cited
  • 2008Exchange rates and fundamentals under adaptive learning29 cited
  • 2017Identifying Exchange Rate Common Factors26 cited
  • 2012ARE THE COMMODITY CURRENCIES AN EXCEPTION TO THE RULE?22 cited
  • 2012Exchange Rates as Exchange Rate Common Factors20 cited
  • 2015Enhancing the forecasting power of exchange rate models by introducing nonlinearity: Does it work?19 cited