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Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions? · Study

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PreprintExchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?

Lutz Kilian1998

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Preprintgreen1998

Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?

56 citations·0/0 files stored·SSRN Electronic Journal

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Forecasting Techniques and Applications

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References

1994Comparing Predictive Accuracy 1983Empirical exchange rate models of the seventies 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1988Dividend yields and expected stock returns 1988Stock Prices, Earnings, and Expected Dividends 1987Cointegration and Tests of Present Value Models 1988Mean reversion in stock prices 1987Mean Reversion in Stock Prices: Evidence and Implications

Cited by

2003Nonlinear prediction of exchange rates with monetary fundamentals 2018The model confidence set package for R 2001The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 2013Exchange Rates and Interest Parity 2010Countercyclical Currency Risk Premia 2015The Model Confidence Set Package for R 2016International stock return predictability: Evidence from new statistical tests

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1999Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions?article · 19 shared references 2001Why long horizons? A study of power against persistent alternativesarticle · 13 shared references 2000Predictability in International Asset Returns: A Reexaminationarticle · 12 shared references 2001Long-Horizon Exchange Rate Predictability?article · 11 shared references 1997Real exchange-rate prediction over long horizonsarticle · 11 shared references 1997Measuring the Predictable Variation in Stock and Bond Returnsarticle · 11 shared references

Details

Year1998

Typepreprint

Published1998-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations56

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.2139/ssrn.53334

openalex_workW94766050

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2003How Well Do Monetary Fundamentals Forecast Exchange Rates?