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Real-Time Out-of-Sample Exchange Rate Predictability. (2013). Molodtsova, Tanya ; Ince, Onur.
In: Working Papers.
RePEc:apl:wpaper:13-03.

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  1. Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven. (2017). Czudaj, Robert ; Beckmann, Joscha.
    In: VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking.
    RePEc:zbw:vfsc17:168291.

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  2. Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven. (2017). Czudaj, Robert ; Beckmann, Joscha.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:74:y:2017:i:c:p:283-300.

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References

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  1. __________, “Approximately Normal Tests for Equal Predictive Accuracy in Nested Models.” Journal of Econometrics 138, 2007, 291-311.
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  2. Bacchetta, Philippe and Eric van Wincoop, “Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle” American Economic Review 100, 2010, pp. 870-904 Baxter, Marianne and Robert G. King, “Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series” Review of Economics and Statistics 81, 1999, 575-593 Cheung, Yin-Wong; Menzie D. Chinn, and Antonio Garcia Pascual, “Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?” Journal of International Money and Finance 24, 2005, 1150-1175.

  3. Clarida, Richard, Jordi Gali, and Mark Gertler, “Monetary Policy Rules in Practice: Some International Evidence” European Economic Review 42, 1998, 1033-1067 Clark, Todd E. and Michael W. McCracken, “Tests of Equal Forecast Accuracy and Encompassing for Nested Models” Journal of Econometrics 105, 2001, 671-110 __________, Evaluating Direct Multi-Step Forecasts Econometric Reviews 24, 2005, 369-404 Clark, Todd and Kenneth West, “Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis” Journal of Econometrics 135, 2006, 155-186.

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  5. Molodtsova, Tanya and David H. Papell, “Exchange Rate Predictability with Taylor Rule Fundamentals” Journal of International Economics 77, 2009, 167-180 Molodtsova, Tanya, Alex Nikolsko-Rzhevskyy and David H. Papell, “Taylor Rules with Real-Time Data: A Tale of Two Countries and One Exchange Rate”, Journal of Monetary Economics 55, 2008, S63-S79 ___________, “Taylor Rules and the Euro”, Journal of Money, Credit and Banking 43, 2011, 535-552 Orphanides, Athanasios, “Monetary Policy Rules Based on Real-Time Data” American Economic Review, 2001, 964–985 ___________, “Historical Monetary Policy Analysis and the Taylor Rule” Journal of Monetary Economics 50, 2003, 983-1022 Rossi, Barbara, 2006. “Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability” Macroeconomic Dynamics 10, 2006, 20-38.

  6. Scholl, Almuth and Harald Uhlig, “New Evidence on the Puzzles: Results from Agnostic Identification on Monetary Policy and Exchange Rates,” Journal of International Economics, 2008, pp.1-14 Stark, Tom and Dean Croushore, “Forecasting with a Real-Time Data Set for Macroeconomists” Journal of Macroeconomics 24, 2002, 507-531 ____________, “Discretion versus Policy Rules in Practice” Carnegie-Rochester Conference Series on Public Policy 39, 1993, 195-214 Watson, Mark, “How Accurate Are Real-Time Estimates of Output Trends and Gaps?” Federal Reserve Bank of Richmond Economic Quarterly 93, 2007, 143-161 West, Kenneth D., “Asymptotic Inference about Predictive Ability” Econometrica 64, 1996, 1067-1084 ____________, 1997, “Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator,” Journal of Econometrics 76, 171-191.

  7. Wang, Jian and Jason Wu, “The Taylor Rule and Forecast Intervals for Exchange Rates” 2012, Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Paper No.22, Journal of Money, Credit and Banking 44, 2012, 103-144

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