scholarly journals Taylor Rule Deviations and Out-of-Sample Exchange Rate Predictability

2015 ◽  
Author(s):  
Onur Ince ◽  
Tanya Molodtsova ◽  
David H. Papell
Keyword(s):  
Exchange Rate ◽  
Taylor Rule ◽  
Out Of Sample ◽  
Exchange Rate Predictability

Out-of-sample exchange rate predictability with Taylor rule fundamentals

2009 ◽  
Vol 77 (2) ◽  
pp. 167-180 ◽  
Author(s):  
Tanya Molodtsova ◽  
David H. Papell
Keyword(s):  
Exchange Rate ◽  
Taylor Rule ◽  
Out Of Sample ◽  
Exchange Rate Predictability

scholarly journals Taylor rule deviations and out-of-sample exchange rate predictability

2016 ◽  
Vol 69 ◽  
pp. 22-44 ◽  
Author(s):  
Onur Ince ◽  
Tanya Molodtsova ◽  
David H. Papell
Keyword(s):  
Exchange Rate ◽  
Taylor Rule ◽  
Out Of Sample ◽  
Exchange Rate Predictability

The Rise and Fall of the Carry Trade: Links to Exchange Rate Predictability

2019 ◽  
Author(s):  
Ilias Filippou ◽  
David Rapach ◽  
Mark Peter Taylor ◽  
Guofu Zhou
Keyword(s):  
Exchange Rate ◽  
Carry Trade ◽  
Exchange Rate Predictability

scholarly journals Modeling and Predictability of Exchange Rate Changes by the Extended Relative Nelson–Siegel Class of Models

2018 ◽  
Vol 6 (3) ◽  
pp. 68
Author(s):  
Hokuto Ishii
Keyword(s):  
Exchange Rate ◽  
Prediction Accuracy ◽  
Factor Model ◽  
Five Factor Model ◽  
Model Fitting ◽  
Extended Model ◽  
Out Of Sample ◽  
Exchange Rate Changes ◽  
Relative Spread ◽  
Future Exchange

This paper investigates the predictability of exchange rate changes by extracting the factors from the three-, four-, and five-factor model of the relative Nelson–Siegel class. Our empirical analysis shows that the relative spread factors are important for predicting future exchange rate changes, and our extended model improves the model fitting statistically. The regression model based on the three-factor relative Nelson–Siegel model is the superior model of the extended models for three-month-ahead out-of-sample predictions, and the prediction accuracy is statistically significant from the perspective of the Clark and West statistic. For 6- and 12-month-ahead predictions, although the five-factor model is superior to the other models, the prediction accuracy is not statistically significant.

scholarly journals Nonlinear exchange rate predictability

2011 ◽  
Vol 30 (5) ◽  
pp. 877-895 ◽  
Author(s):  
Carlos Felipe López-Suárez ◽  
José Antonio Rodríguez-López
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Predictability
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