The Continuing Puzzle of Short Horizon Exchange Rate Forecasting

By Kenneth S. Rogoff, Vania Stavrakeva. 2008

181 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c800995fb108279f7ef95a86ae259b3fbde999d0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Exchange rate predictability in a changing world (2014, unknown): “arch, one area remains unresolved. This is the frequent regularity that exchange rate predictability is often sampledependent, and hence forecasting ability appears in some periods but not in others. Rogoff and Stavrakeva (2008) and Rossi (2013) examine these issues thoroughly. Rogoff and Stavrakeva”
On the sources of uncertainty in exchange rate predictability (2018, unknown): “On the other hand, Rogoff and Stavrakeva (2008) make the case for using the bootstrapped DMW test, rather than the CW test, arguing that the latter does not always test for a minimum mean squared forecast error.”
Can Exchange Rates Forecast Commodity Prices (2008, unknown): “Engel, Mark and West (2007) and Rogo⁄ and Stavrakeva (2008) o⁄er discussions of the recent evidence. testing procedures that are robust to parameter instabilities, we uncover an empirical regularity that has potentially important practical implications to a wide range of developing countries.”
Out-of-Sample Forecast Tests Robust to the Choice of Window Size (2011, unknown): “Rossi ( 2006 ) found empirical evidence of instabilities in models of exchange rate determination; Giacomini and Rossi ( 2010 ) evaluated the consequences of instabilities in the forecasting performance of the models over time; Rogoff and Stavrakeva ( 2008 ) questioned the robustness of these result”
Forecast comparisons in unstable environments (2010, background): “Rogoff and Stavrakeva (2008) show that the results may depend on the initial estimation point as well as the size of the rolling window.”
Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons (2015, background): “…features of foreign exchange markets: exchange rates can help predict economic fundamentals including commodity prices; see, forexample, Meese and Rogoff (1983), Engel and West (2005), Cheung, Chinn and Pascual (2005), Rogoff and Stavrakeva (2008), Chen, Rogoff and Rossi (2010), and Rossi (2013).”
What Does the Yield Curve Tell Us about Exchange Rate Predictability? (2013, unknown): “Sarno (2005) and Rogoff and Stavrakeva (2008) present more recent surveys.”
On the unstable relationship between exchange rates and macroeconomic fundamentals (2013, unknown): “A change in the current fundamental a ects current and past parameter expectations (12)The second-order impact of noise innovations on the expectation of parameters is also seen in (29), where the term involving the unobservable innovation "t is of second order: ( 2 = 2 b ) ft" b t .”
Out-of-sample exchange rate predictability with Taylor rule fundamentals (2009, unknown): “…and West (2006) suggest that the inference made using asymptotically normal critical values results in properly-sized tests for rolling regressions.3 There is an important distinction, emphasized by Inoue and Kilian (2004) and Rogoff and Stavrakeva (2008), between forecasting and predictability.”
Can Oil Prices Forecast Exchange Rates (2011, unknown): “See, for example, Mark, Engel and West (2007), Rogo¤ (2007) and Rogo¤ and Stavrakeva (2008).”