ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY

By Barbara Rossi. Macroeconomic Dynamics, 2005

164 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/860bdb5ecad808f84e3178edeb39cd781991c35c

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Citations in the corpus

Out-of-Sample Forecast Tests Robust to the Choice of Window Size (2011, unknown): “The empirical evidence shows that instabilities are widespread for exchange rate models (see Rossi 2006), which might justify why in several cases, we find improvements in economic models’ forecasting ability relative to the random walk for small window sizes.”
Forecast comparisons in unstable environments (2010, methodology): “As shown by Rossi (2006), parameter instability plagues the estimation of exchange rate models.”
Can Oil Prices Forecast Exchange Rates (2011, unknown): “Predictive ability, when it exists, is unstable over time (see Rossi, 2006, and Giacomini and Rossi, 2010).”
Exchange rate predictability in a changing world (2014, unknown): “The exact coefficient’s law of motion is inspired, among others, by Stock and Watson (1996), Rossi (2006), and Boivin (2006).”
Advances in Forecasting Under Instability (2012, unknown): “Rossi (2006) considers traditional models of exchange rate dynamics based on macroeconomic fundamentals, such as interest rates, money or output di¤erentials using the Granger-causality tests robust to the presence of parameter instability discussed later in this Section.”
The Continuing Puzzle of Short Horizon Exchange Rate Forecasting (2008, methodology): “2See also Rapach and Wohar (2002), Rossi (2006), Groen (2005, 2007), Cerra and Saxena (2008), Ardic et al. (2008), Molodtsova, Nikolsko-Rzhevskyy and Papell (2007, 2008) and Sellin (2006). forecast bias3, the new tests for nested models4 cannot be always interpreted as minimum mean square forecast…”
Exchange Rate Predictability (2013, unknown): “Rossi (2006) rejects that the coe¢ cients of the monetary model are both constant and equal to zero, suggesting time-varying predictive ability.”
Time-varying model averaging (2020, unknown): “, Stock & Watson (1996, 2002, 2005), Rossi (2006), and Rossi & Sekhposyan (2011)).”
OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY (2005, background): “…or exchange rates are random walks but is also worried about the possibility that parameters may be varying over time ~see Clark and McCracken, 2005; Rossi, 2005!+ The strand of research closest to this paper is that concerning tests for parameter instability, in particular the works by Chow…”
On the sources of uncertainty in exchange rate predictability (2018, unknown): “Equation (2) suggests that we assume a random walk process for the parameter θt, following Rossi (2006) and Wolff (1987).”
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? (2009, background): “4 parity equations, or also agents heterogeneity leading to di¤erent responses to macroeconomic developments over time (e.g. see Schinasi and Swamy, 1989; Rossi, 2005, 2006).”
On the unstable relationship between exchange rates and macroeconomic fundamentals (2013, unknown): “Next consider the second term on the right hand side of (30).”