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Taylor rule deviations and out-of-sample exchange rate predictability
16 references·2 citing·35 second hop
Taylor rule deviations and out-of-sample exchange rate predictability (2016)Taylor rule deviations and out-of-sample …Asymptotics for out of sample tests of Granger causality (2006)Asymptotics for out of sample…Exchange Rates and Fundamentals (2005)Exchange Rates and Fundamenta…Empirical exchange rate models of the nineties: Are any fit to survive? (2005)Empirical exchange rate model…Interest and Prices (2004)Interest and PricesExchange Rates and Fundamentals (2004)Exchange Rates and Fundamenta…The Unreliability of Output-Gap Estimates in Real Time (2002)The Unreliability of Output-G…A real-time data set for macroeconomists (2001)A real-time data set for macr…Monetary policy rules in practice (1998)Monetary policy rules in prac…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates (1995)Some Empirical Evidence on th…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyDiscretion versus policy rules in practice (1993)Discretion versus policy rule…A Simple Nonparametric Test of Predictive Performance (1992)A Simple Nonparametric Test o…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Fundamental determinants of exchange rate expectations (2024)Fundamental determinants of e…The behavior of exchange rate and stock returns in high and low interest rate environments (2021)The behavior of exchange rate…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? (2007)Detrending, stylized facts and the business cycle (1993)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Disagreement about Inflation Expectations (2003)The quest for prosperity without inflation (2003)New Evidence on the Interest Rate Effects of Budget Deficits and Debt (2009)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)The federal funds rate and the channels of monetary transmission (1989)Large Bayesian vector auto regressions (2009)Capital Flows and the Risk-Taking Channel of Monetary Policy (2013)Cross-Border Banking and Global Liquidity (2014)Rules, discretion and reputation in a model of monetary policy (1983)The Science of Monetary Policy: A New Keynesian Perspective (1999)Estimation and Inference of Impulse Responses by Local Projections (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Aggregate Dynamics and Staggered Contracts (1980)Optimal monetary policy with staggered wage and price contracts (2000)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)A model of unconventional monetary policy (2010)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
this work references cited by second hop

References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 2004Interest and Prices2,583 cited
  • 1998Monetary policy rules in practice2,206 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 1995Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates1,127 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 2002The Unreliability of Output-Gap Estimates in Real Time944 cited
  • 1992A Simple Nonparametric Test of Predictive Performance897 cited
  • 2005Exchange Rates and Fundamentals808 cited
  • 2001A real-time data set for macroeconomists787 cited
  • 2004Exchange Rates and Fundamentals723 cited
  • 2005Empirical exchange rate models of the nineties: Are any fit to survive?717 cited
  • 2006Asymptotics for out of sample tests of Granger causality697 cited

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Cited by

  • 2021The behavior of exchange rate and stock returns in high and low interest rate environments37 cited
  • 2024Fundamental determinants of exchange rate expectations17 cited