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Taylor Rule Exchange Rate Forecasting During the Financial Crisis
16 references·6 citing·43 second hop
Taylor Rule Exchange Rate Forecasting During the Financial Crisis (2012)Taylor Rule Exchange Rate Forecasting Dur…Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle (2010)Infrequent Portfolio Decision…Forecast comparisons in unstable environments (2010)Forecast comparisons in unsta…Financial Conditions Indexes: A Fresh Look after the Financial Crisis (2010)Financial Conditions Indexes:…Credit Spreads and Monetary Policy (2009)Credit Spreads and Monetary P…New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates (2008)New evidence on the puzzles: …International Financial Adjustment (2007)International Financial Adjus…Exchange Rate Models Are Not as Bad as You Think (2007)Exchange Rate Models Are Not …Asymptotics for out of sample tests of Granger causality (2006)Asymptotics for out of sample…Exchange rate puzzles and distorted beliefs (2004)Exchange rate puzzles and dis…A real-time data set for macroeconomists (2001)A real-time data set for macr…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…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyDiscretion versus policy rules in practice (1993)Discretion versus policy rule…A Black Swan in the Money MarketA Black Swan in the Money Mar…What is on the ECB’s mind? Monetary policy before and after the global financial crisis (2021)What is on the ECB’s mind? Mo…Data Science for Economics and Finance (2021)Data Science for Economics an…The real exchange rate in Taylor rules: A Re-Assessment (2018)The real exchange rate in Tay…The Role of Technical Indicators in Exchange Rate Forecasting (2017)The Role of Technical Indicat…Heterogeneous agents, the financial crisis and exchange rate predictability (2015)Heterogeneous agents, the fin…Can structural change explain the Meese-Rogoff puzzle? (2014)Can structural change explain…Expectations and Exchange Rate Dynamics (1976)Empirical exchange rate models of the seventies (1983)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)Macroeconomic Forecasting Using Diffusion Indexes (2002)Forecasting stock market returns: The sum of the parts is more than the whole (2011)Forecasting Stock Returns (2013)Short interest and aggregate stock returns (2016)Do Measures of Monetary Policy in a VAR Make Sense (1998)Monetary Policy Rules Based on Real-Time Data (2001)Macroeconomic Forecasting With Mixed-Frequency Data (2008)Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility (2010)Communicating uncertainty about facts, numbers and science (2019)Rules, discretion and reputation in a model of monetary policy (1983)Estimation and Inference of Impulse Responses by Local Projections (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Global Current Account Imbalances and Exchange Rate Adjustments (2005)Global Banking Glut and Loan Risk Premium (2012)The Missing Wealth of Nations: Are Europe and the U.S. net Debtors or net Creditors?* (2013)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)The black swan: the impact of the highly improbable (2007)Credit Frictions and Optimal Monetary Policy (2009)Hedge Fund Contagion and Liquidity Shocks (2010)Over the Cliff: From the Subprime to the Global Financial Crisis (2011)Rollover Risk and Credit Risk (2012)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)The Science of Monetary Policy: A New Keynesian Perspective (1999)Financial Factors in Economic Fluctuations (2010)A Macroeconomic Model with a Financial Sector (2014)Vulnerable Growth (2019)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)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)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)
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References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 1995Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates1,127 cited
  • 2001A real-time data set for macroeconomists787 cited
  • 2009Credit Spreads and Monetary Policy766 cited
  • 2006Asymptotics for out of sample tests of Granger causality697 cited
  • 2007International Financial Adjustment636 cited
  • n.d.A Black Swan in the Money Market610 cited
  • 2010Forecast comparisons in unstable environments468 cited
  • 2007Exchange Rate Models Are Not as Bad as You Think431 cited
  • 2010Financial Conditions Indexes: A Fresh Look after the Financial Crisis395 cited
  • 2010Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle368 cited
  • 2004Exchange rate puzzles and distorted beliefs302 cited
  • 2008New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates

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253 cited

Cited by

  • 2017The Role of Technical Indicators in Exchange Rate Forecasting42 cited
  • 2021Data Science for Economics and Finance42 cited
  • 2015Heterogeneous agents, the financial crisis and exchange rate predictability35 cited
  • 2014Can structural change explain the Meese-Rogoff puzzle?33 cited
  • 2018The real exchange rate in Taylor rules: A Re-Assessment20 cited
  • 2021What is on the ECB’s mind? Monetary policy before and after the global financial crisis15 cited