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Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K.

Research output: Working paper

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Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K. / Peel, David Alan; Promponas, Pantelis.
Lancaster: Lancaster University, Department of Economics, 2016. (Economics Working Paper Series).

Research output: Working paper

Harvard

Peel, DA & Promponas, P 2016 'Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K.' Economics Working Paper Series, Lancaster University, Department of Economics, Lancaster.

APA

Peel, D. A., & Promponas, P. (2016). Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K. (Economics Working Paper Series). Lancaster University, Department of Economics.

Vancouver

Peel DA, Promponas P. Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K. Lancaster: Lancaster University, Department of Economics. 2016 Dec. (Economics Working Paper Series).

Author

Peel, David Alan ; Promponas, Pantelis. / Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K. Lancaster : Lancaster University, Department of Economics, 2016. (Economics Working Paper Series).

Bibtex

@techreport{e7f6ce5a6e5f432f92431de1f6c0bd22,
title = "Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K.",
abstract = "Exchange rate forecasting has become an arena for many researchers the last decades while predictability depends heavily on several factors such as the choice of the fundamentals, the econometric model and the data form. The aim of this paper is to assess whether modelling time-variation and other forms of instabilities may improve the forecasting performance of the models. Paper begins with a brief critical review of the recently developed exchange rate forecasting models and continues with a real-time forecasting race between our fundamentals-based models, a DSGE model, estimated with Bayesian techniques and the benchmark random walk model without drift. Results suggest that models accounting for non-linearities may generate poor forecasts relative to more parsimonious and linear models.",
keywords = "Forecasting exchange rate, Exchange rate literature, Instability, Taylor rule, PPP, UIP, Money supply, Real-time estimation, Time-Varying models, DSGE model, Bayesian methods",
author = "Peel, {David Alan} and Pantelis Promponas",
year = "2016",
month = dec,
language = "English",
series = "Economics Working Paper Series",
publisher = "Lancaster University, Department of Economics",
type = "WorkingPaper",
institution = "Lancaster University, Department of Economics",

}

RIS

TY - UNPB

T1 - Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K.

AU - Peel, David Alan

AU - Promponas, Pantelis

PY - 2016/12

Y1 - 2016/12

N2 - Exchange rate forecasting has become an arena for many researchers the last decades while predictability depends heavily on several factors such as the choice of the fundamentals, the econometric model and the data form. The aim of this paper is to assess whether modelling time-variation and other forms of instabilities may improve the forecasting performance of the models. Paper begins with a brief critical review of the recently developed exchange rate forecasting models and continues with a real-time forecasting race between our fundamentals-based models, a DSGE model, estimated with Bayesian techniques and the benchmark random walk model without drift. Results suggest that models accounting for non-linearities may generate poor forecasts relative to more parsimonious and linear models.

AB - Exchange rate forecasting has become an arena for many researchers the last decades while predictability depends heavily on several factors such as the choice of the fundamentals, the econometric model and the data form. The aim of this paper is to assess whether modelling time-variation and other forms of instabilities may improve the forecasting performance of the models. Paper begins with a brief critical review of the recently developed exchange rate forecasting models and continues with a real-time forecasting race between our fundamentals-based models, a DSGE model, estimated with Bayesian techniques and the benchmark random walk model without drift. Results suggest that models accounting for non-linearities may generate poor forecasts relative to more parsimonious and linear models.

KW - Forecasting exchange rate

KW - Exchange rate literature

KW - Instability

KW - Taylor rule

KW - PPP

KW - UIP

KW - Money supply

KW - Real-time estimation

KW - Time-Varying models

KW - DSGE model

KW - Bayesian methods

M3 - Working paper

T3 - Economics Working Paper Series

BT - Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K.

PB - Lancaster University, Department of Economics

CY - Lancaster

ER -