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Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?
16 references·9 citing·36 second hop
Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions? (1998)Exchange Rates and Monetary Fundamentals:…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesUnit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)Unit Root Tests in ARMA Model…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyDividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Mean reversion in stock prices (1988)Mean reversion in stock pricesDividend yields and expected stock returns (1988)Dividend yields and expected …The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…The model confidence set package for R (2018)The model confidence set pack…International stock return predictability: Evidence from new statistical tests (2016)International stock return pr…The Model Confidence Set Package for R (2015)The Model Confidence Set Pack…Exchange Rates and Interest Parity (2013)Exchange Rates and Interest P…Countercyclical Currency Risk Premia (2010)Countercyclical Currency Risk…A Re-Examination of the Border Effect (2005)A Re-Examination of the Borde…Nonlinear prediction of exchange rates with monetary fundamentals (2003)Nonlinear prediction of excha…How Well Do Monetary Fundamentals Forecast Exchange Rates? (2003)How Well Do Monetary Fundamen…The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond (2001)The Out-of-Sample Success of …Trends and random walks in macroeconomic time series (1988)Business conditions and expected returns on stocks and bonds (1989)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Asset Prices in an Exchange Economy (1978)Does the Stock Market Overreact? (1985)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Efficient Market Hypothesis and Its Critics (2003)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)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)
this work references cited by second hop

References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag1,459 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 1996Mean Reversion in Stock Prices1,083 cited

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1995
Exchange rates and fundamentals: Evidence on long-horizon predictability
1,044 cited

Cited by

  • 2003Nonlinear prediction of exchange rates with monetary fundamentals105 cited
  • 2018The model confidence set package for R82 cited
  • 2001The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond73 cited
  • 2013Exchange Rates and Interest Parity53 cited
  • 2010Countercyclical Currency Risk Premia38 cited
  • 2015The Model Confidence Set Package for R36 cited
  • 2016International stock return predictability: Evidence from new statistical tests32 cited
  • 2003How Well Do Monetary Fundamentals Forecast Exchange Rates?31 cited
  • 2005A Re-Examination of the Border Effect15 cited