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Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries
16 references·7 citing·41 second hop
Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries (2019)Predicting exchange rate with commodity p…Festschrift in Honor of Peter Schmidt (2014)Festschrift in Honor of Peter…A new unit root test with two structural breaks in level and slope at unknown time (2010)A new unit root test with two…Do macro variables, asset markets, or surveys forecast inflation better? (2007)Do macro variables, asset mar…Stock Return Predictability: Is it There? (2006)Stock Return Predictability: …Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Exchange Rates and Fundamentals (2005)Exchange Rates and Fundamenta…Dealing with Structural Breaks (2005)Dealing with Structural BreaksPredicting returns with financial ratios (2004)Predicting returns with finan…Exchange Rates and Fundamentals (2004)Exchange Rates and Fundamenta…Predicting the Equity Premium with Dividend Ratios (2003)Predicting the Equity Premium…Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks (2003)Minimum Lagrange Multiplier U…Stock Return Predictability: Is it There? (2001)Stock Return Predictability: …Multiple Trend Breaks and the Unit-Root Hypothesis (1997)Multiple Trend Breaks and the…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)A Monetary Approach To The Ex…A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence (1976)A Monetary Approach to the Ex…Transition risk, physical risk, and the realized volatility of oil and natural gas prices (2023)Transition risk, physical ris…A new LASSO-BiLSTM-based ensemble learning approach for exchange rate forecasting (2023)A new LASSO-BiLSTM-based ense…Connectedness of commodity, exchange rate and categorical economic policy uncertainties — Evidence from China (2022)Connectedness of commodity, e…Exchange rate predictability with nine alternative models for BRICS countries (2021)Exchange rate predictability …Predicting stock returns in the presence of COVID-19 pandemic: The role of health news (2020)Predicting stock returns in t…Oil Price and Exchange Rate Behaviour of the BRICS (2020)Oil Price and Exchange Rate B…A firm level analysis of asymmetric response of U.S. stock returns to exchange rate movements (2020)A firm level analysis of asym…Expectations and Exchange Rate Dynamics (1976)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Time series forecasting using a hybrid ARIMA and neural network model (2003)The Purchasing-Power Parity Doctrine: A Reappraisal (1964)Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)Exchange Rate Dynamics Redux (1995)On the Principles of Political Economy, and Taxation (2014)The Quarterly Journal of Economics (2024)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Testing for a Unit Root in Time Series Regression (1988)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks (2006)The impact of financial development, income, energy and trade on carbon emissions: Evidence from the Indian economy (2014)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Empirical exchange rate models of the nineties: Are any fit to survive? (2005)How do business and financial cycles interact? (2011)How do business and financial cycles interact? (2012)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)The Science of Monetary Policy: A New Keynesian Perspective (1999)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Expected Stock Returns and Variance Risk Premia (2009)Credit Spreads and Business Cycle Fluctuations (2012)Asset returns and inflation (1977)Dividend yields and expected stock returns (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Comparing Predictive Accuracy (1994)Macroeconomic Forecasting Using Diffusion Indexes (2002)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)
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References

  • 1983Empirical exchange rate models of the seventies4,153 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2003Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks2,398 cited
  • 1997Multiple Trend Breaks and the Unit-Root Hypothesis1,504 cited
  • 2006Stock Return Predictability: Is it There?1,295 cited
  • 2004Predicting returns with financial ratios1,002 cited
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  • 2001Stock Return Predictability: Is it There?903 cited
  • 1976A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence836 cited
  • 2005Exchange Rates and Fundamentals832 cited
  • 2007Do macro variables, asset markets, or surveys forecast inflation better?801 cited
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  • 2003Predicting the Equity Premium with Dividend Ratios764 cited
  • 2004Exchange Rates and Fundamentals739 cited
  • 2010A new unit root test with two structural breaks in level and slope at unknown time728 cited
  • 2005

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Dealing with Structural Breaks
701 cited

Cited by

  • 2020Predicting stock returns in the presence of COVID-19 pandemic: The role of health news344 cited
  • 2023Transition risk, physical risk, and the realized volatility of oil and natural gas prices52 cited
  • 2020Oil Price and Exchange Rate Behaviour of the BRICS51 cited
  • 2022Connectedness of commodity, exchange rate and categorical economic policy uncertainties — Evidence from China50 cited
  • 2023A new LASSO-BiLSTM-based ensemble learning approach for exchange rate forecasting27 cited
  • 2020A firm level analysis of asymmetric response of U.S. stock returns to exchange rate movements18 cited
  • 2021Exchange rate predictability with nine alternative models for BRICS countries8 cited