create a website

Are Global Factors Useful for Forecasting the Exchange Rate?. (2023). Fontoura, Pedro ; Rossi, Marina.
In: Journal of Applied Finance & Banking.
RePEc:spt:apfiba:v:13:y:2023:i:6:f:13_6_14.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 33

References cited by this document

Cocites: 60

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. [1] Aloosh, G.; Chang, K.; Mano, R.; Shao, Y. (2019). Currency factors. NBER WP. 25449.
    Paper not yet in RePEc: Add citation now
  2. [10] Chinn, M. D.; Moore, M. J. (2011). Order flow and the monetary model of exchange rates: Evidence from a novel data set. Journal of Money, Credit and Banking, 43 (8), 1599–1624.

  3. [11] Clark, T.; West, K. Approximately Normal Tests for Equal Predictive Accuracy in Nested Models. (2007). Journal of Econometrics, 138, 291-311.

  4. [12] Dornbusch, R. (1976). Expectations and exchange rate dynamics. Journal of political Economy, 84 (6), 1161–1176.
    Paper not yet in RePEc: Add citation now
  5. [13] Engel, C.; West, K. D. (2004). Taylor rules and the deutschmark-dollar real exchange rate. Tech. rep., National Bureau of Economic Research.

  6. [14] Engel, C.; Mark, N. C.; West, K. D. (2015). Factor model forecasts of exchange rates. Econometric Reviews, 34 (1-2), 32–55.

  7. [15] Estrada, F.G.; Romero, J.V. (2022). Common and idiosyncratic movements in Latin-American exchange rates International Finance, 171 (6), 174-190.
    Paper not yet in RePEc: Add citation now
  8. [16] Evans, M. D.; Lyons, R. K. (2002). Order flow and exchange rate dynamics. Journal of political economy, 110 (1), 170–180.

  9. [17] Faust, J.; Rogers, J. H.; Wright, J. H. (2003). Exchange rate forecasting: the errors we’ve really made. Journal of International Economics, 60 (1), 35–59.

  10. [18] Felício, W. R. d. O.; Rossi Júnior, J. L. (2014). Common factors and the exchange rate: results from the Brazilian case. Revista Brasileira de Economia, 68 (1), 49–71. Are Global Factors Useful for Forecasting the Exchange Rate? 297

  11. [19] Ferraro, D., Rogoff, K.; Rossi, B. (2015). Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates Journal of International Money and Finance, 54, 116-141.

  12. [2] Bacchetta, P.; Van Wincoop, E. (2004). A scapegoat model of exchange-rate fluctuations. American Economic Review, 94 (2), 114–118.

  13. [20] Forni, M.; Reichlin, L. (1998). Let’s get real: a factor analytical approach to disaggregated business cycle dynamics. The Review of Economic Studies, 65 (3), 453–473.

  14. [21] Greenaway-McGrevy, R.; Mark, D. Sul, N. C.; Wu, J.-L. (2018). Identifying exchange rate common factors. International Economic Review, 59 (4), 2193– 2218.

  15. [22] Groen, J. J. (1999). Long horizon predictability of exchange rates: Is it for real? Empirical Economics, 24 (3), 451–469.

  16. [23] Groen, J. J. (2005). Exchange rate predictability and monetary fundamentals in a small multi-country panel. Journal of Money, Credit and Banking, 495– 516.

  17. [24] Groen, J. J. (2006). Fundamentals based exchange rate prediction revisited, manuscript. Bank of England.
    Paper not yet in RePEc: Add citation now
  18. [26] Kilian, L. (1999). Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions? Journal of applied Econometrics, 14 (5), 491–510.

  19. [27] Lustig, H.; Roussanov, N.; Verdelhan, A. (2011). Common risk factors in currency markets. The Review of Financial Studies, 24, 3731-3777.

  20. [28] Mark, N. C. (1995). Exchange rates and fundamentals: Evidence on longhorizon predictability. The American Economic Review, 201–218.

  21. [29] Mark, N. C. (2009). Changing monetary policy rules, learning, and real exchange rate dynamics. Journal of Money, Credit and Banking, 41 (6), 1047– 1070.

  22. [3] Bacchetta, P.; Van Wincoop, E. (2013). On the unstable relationship between exchange rates and macroeconomic fundamentals. Journal of International Eco- nomics, 91 (1), 18–26.
    Paper not yet in RePEc: Add citation now
  23. [30] Mark, N. C.; Sul, D. (2001). Nominal exchange rates and monetary fundamentals: evidence from a small post-Bretton Woods panel. Journal of international economics, 53 (1), 29–52.

  24. [31] Meese, R. A.; Rogoff, K. (1983). Empirical exchange rate models of the seventies: Do they fit out of sample? Journal of international economics, 14 (1-2), 3–24.

  25. [32] Menkhoff, L.; Sarno, L.; Maik Schmeling, A.S. (2012). Carry trades and global foreign exchange volatility. The Journal of Finance, 67(2), 681-718.

  26. [33] [33] Molodtsova, T.; Papell, D. H. (2009). Out-of-sample exchange rate predictability with Taylor Rule fundamentals. Journal of international economics, 77 (2), 167–180.

  27. [34] Vitale, P. (2007). A guided tour of the market microstructure approach to exchange rate determination. Journal of Economic Surveys, 21 (5), 903–934.

  28. [4] Baku, E. (2019). Exchange rate predictability in emerging markets International Economics, 157, 1-22.

  29. [5] Banti, C.; Phylaktis, K.; Sarno, L. (2012). Global liquidity risk in the foreign exchange market. Journal of International Money and Finance, 31, 267-291.

  30. [6] Berkowitz, J.; Giorgianni, L. (2001). Long-horizon exchange rate predictability? Review of Economics and Statistics, 83 (1), 81–91.

  31. [7] Cayen, J. P.; Coletti, D.; Lalonde, R.; Maier, P. (2010). What drives exchange rates? new evidence from a panel of US dollar bilateral exchange rates Bank of Canada, 2010-5.
    Paper not yet in RePEc: Add citation now
  32. [8] Chen, Y.; Rogoff, K.; Rossi, B. (2010). Can exchange rates forecast commodity prices? Quarterly Journal of Economics, 125, 1145-1194.

  33. [9] Cheung, Y.-W.; Chinn, M. D.; Pascual, A. G. (2005). What do we know about recent exchange rate models? in-sample fit and out-of-sample performance evaluated. Exchange rate economics: Where do we stand, 239–276.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Forecasts of Period-Average Exchange Rates: New Insights from Real-Time Daily Data. (2024). Martin, Stephen Snudden.
    In: LCERPA Working Papers.
    RePEc:wlu:lcerpa:jc0148.

    Full description at Econpapers || Download paper

  2. Exchange rates and fundamentals: Forecasting with long maturity forward rates. (2024). Darvas, Zsolt ; Schepp, Zoltan.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000548.

    Full description at Econpapers || Download paper

  3. Measuring the impact of climate risk on renewable energy stock volatility: A case study of G20 economies. (2024). Huynh, Luu Duc Toan ; Damette, Olivier ; Wang, LU ; Toan, Luu Duc ; Zhang, LI ; Liang, Chao.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:223:y:2024:i:c:p:168-184.

    Full description at Econpapers || Download paper

  4. Are Global Factors Useful for Forecasting the Exchange Rate?. (2023). Fontoura, Pedro ; Rossi, Marina.
    In: Journal of Applied Finance & Banking.
    RePEc:spt:apfiba:v:13:y:2023:i:6:f:13_6_14.

    Full description at Econpapers || Download paper

  5. Currency exchange rate predictability: The new power of Bitcoin prices. (2023). Zhang, Zhengjun ; Feng, Wenjun.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:132:y:2023:i:c:s0261560623000128.

    Full description at Econpapers || Download paper

  6. Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow. (2022). Jabeen, Munazza ; Rashid, Abdul.
    In: Global Journal of Emerging Market Economies.
    RePEc:sae:emeeco:v:14:y:2022:i:2:p:222-245.

    Full description at Econpapers || Download paper

  7. An Effective Hybrid Approach for Forecasting Currency Exchange Rates. (2021). Chang, Po-Yin ; Shen, Mei-Li ; Liu, Hsiou-Hsiang ; Yang, Cheng-Hong ; Lee, Cheng-Feng.
    In: Sustainability.
    RePEc:gam:jsusta:v:13:y:2021:i:5:p:2761-:d:510193.

    Full description at Econpapers || Download paper

  8. Exchange Rate Determination: Mixed Microstructural and Macroeconomic Approach. (2021). Kammoun, Aïda ; Karoui, Ali Trabelsi.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2021-03-11.

    Full description at Econpapers || Download paper

  9. Equity Tail Risk in the Treasury Bond Market. (2020). Ruzzi, Dario ; Rubin, Mirco.
    In: Papers.
    RePEc:arx:papers:2007.05933.

    Full description at Econpapers || Download paper

  10. Point and density forecasts of oil returns: The role of geopolitical risks. (2019). Wong, Wing-Keung ; Plakandaras, Vasilios ; GUPTA, RANGAN.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:62:y:2019:i:c:p:580-587.

    Full description at Econpapers || Download paper

  11. Assessing the inflation hedging of gold and palladium in OECD countries. (2019). Salisu, Afees ; Oloko, Tirimisiyu ; Ndako, Umar.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:62:y:2019:i:c:p:357-377.

    Full description at Econpapers || Download paper

  12. An Auction-Based Test of Private Information in an Interdealer FX Market. (2018). Villamizar-Villegas, mauricio ; Bonaldi, Jean.
    In: Borradores de Economia.
    RePEc:bdr:borrec:1049.

    Full description at Econpapers || Download paper

  13. Electricity price forecasts using a Curvelet denoising based approach. (2015). Zou, Yingchao ; Xu, Yang ; Tang, Ling ; He, Kaijian.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:425:y:2015:i:c:p:1-9.

    Full description at Econpapers || Download paper

  14. Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump. (2015). Kilian, Lutz ; Baumeister, Christiane ; Lee, Thomas K.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10362.

    Full description at Econpapers || Download paper

  15. The offshore renminbi exchange rate: Microstructure and links to the onshore market. (2014). Cheung, Yin-Wong ; Rime, Dagfinn.
    In: BOFIT Discussion Papers.
    RePEc:zbw:bofitp:bdp2014_017.

    Full description at Econpapers || Download paper

  16. Business Confidence and Forecasting of Housing Prices and Rents in Large German Cities. (2014). Siliverstovs, Boriss ; Kholodilin, Konstantin.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1360.

    Full description at Econpapers || Download paper

  17. A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil. (2014). Kilian, Lutz ; Baumeister, Christiane.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10162.

    Full description at Econpapers || Download paper

  18. Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2014). Pettenuzzo, Davide ; Gargano, Antonio ; Timmermann, Allan G.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10104.

    Full description at Econpapers || Download paper

  19. A Study of yhe Nonlinear Relationships among the U.S. and Asian Stock Markets during Financial Crises. (2013). Hu, Yu-Hau ; Hsueh, Shun-Jen.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2013:i:4:p:134-147.

    Full description at Econpapers || Download paper

  20. Exchange Rate Predictability and a Monetary Model with Time-varying Cointegration Coefficients. (2013). Park, Cheolbeom.
    In: Discussion Paper Series.
    RePEc:iek:wpaper:1302.

    Full description at Econpapers || Download paper

  21. Taylor rules and exchange rate predictability in emerging economies. (2013). Moura, Marcelo ; Galimberti, Jaqueson.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:32:y:2013:i:c:p:1008-1031.

    Full description at Econpapers || Download paper

  22. When does investor sentiment predict stock returns?. (2012). Hung, Chi-Hsiou ; Chung, San-Lin ; Yeh, Chung-Ying.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:2:p:217-240.

    Full description at Econpapers || Download paper

  23. Tails of Inflation Forecasts and Tales of Monetary Policy. (2012). Idier, Julien ; Andrade, Philippe ; Ghysels, E..
    In: Working papers.
    RePEc:bfr:banfra:407.

    Full description at Econpapers || Download paper

  24. Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors. (2011). Uwilingiye, Josine ; GUPTA, RANGAN ; Modise, Mampho P..
    In: Working Papers.
    RePEc:pre:wpaper:201122.

    Full description at Econpapers || Download paper

  25. Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production. (2011). Ziegler, Christina ; Wohlrabe, Klaus ; Carstensen, Kai.
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
    RePEc:jns:jbstat:v:231:y:2011:i:1:p:82-106.

    Full description at Econpapers || Download paper

  26. Out-of-sample forecast tests robust to the choice of window size. (2011). Rossi, Barbara ; Inoue, Atsushi.
    In: Working Papers.
    RePEc:fip:fedpwp:11-31.

    Full description at Econpapers || Download paper

  27. Forecasting the price of oil. (2011). Vigfusson, Robert ; Kilian, Lutz ; Alquist, Ron.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:1022.

    Full description at Econpapers || Download paper

  28. Understanding models forecasting performance. (2011). Sekhposyan, Tatevik ; Rossi, Barbara.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:164:y:2011:i:1:p:158-172.

    Full description at Econpapers || Download paper

  29. Corporate bond spreads and real activity in the euro area - Least Angle Regression forecasting and the probability of the recession. (2011). Buchmann, Marco .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20111286.

    Full description at Econpapers || Download paper

  30. Properties of Foreign Exchange Risk Premia. (2010). Wagner, Christian ; Schneider, Paul ; Sarno, Lucio.
    In: MPRA Paper.
    RePEc:pra:mprapa:21302.

    Full description at Econpapers || Download paper

  31. Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production. (2010). Ziegler, Christina ; Wohlrabe, Klaus ; Carstensen, Kai.
    In: Discussion Papers in Economics.
    RePEc:lmu:muenec:11442.

    Full description at Econpapers || Download paper

  32. Forecasting Macroeconomic Aggregates. (2010). Mayr, Johannes.
    In: Munich Dissertations in Economics.
    RePEc:lmu:dissen:11140.

    Full description at Econpapers || Download paper

  33. Forecast evaluation of small nested model sets. (2010). West, Kenneth ; Hubrich, Kirstin.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:25:y:2010:i:4:p:574-594.

    Full description at Econpapers || Download paper

  34. Non-linearities in the relation between the exchange rate and its fundamentals. (2010). De Grauwe, Paul ; Altavilla, Carlo.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:15:y:2010:i:1:p:1-21.

    Full description at Econpapers || Download paper

  35. Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules. (2010). Zhou, Guofu ; Tu, Jun ; Neely, Christopher ; Rapach, David E..
    In: Working Papers.
    RePEc:fip:fedlwp:2010-008.

    Full description at Econpapers || Download paper

  36. Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate. (2010). Hubrich, Kirstin ; Hendry, David.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20101155.

    Full description at Econpapers || Download paper

  37. Reglas de Taylor y previsibilidad fuera de muestra de la tasa de cambio en Latinoamérica. (2010). Ojeda-Joya, Jair ; Daniel Andres Jaimes Cardenas, .
    In: Borradores de Economia.
    RePEc:col:000094:007308.

    Full description at Econpapers || Download paper

  38. How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan. (2010). Franses, Philip Hans ; Chang, Chia-Lin.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:10/16.

    Full description at Econpapers || Download paper

  39. Reglas de Taylor y previsibilidad fuera de muestra de la tasa de cambio en Latinoamérica. (2010). Ojeda-Joya, Jair ; Daniel Andres Jaimes Cardenas, .
    In: Borradores de Economia.
    RePEc:bdr:borrec:619.

    Full description at Econpapers || Download paper

  40. Exchange rates in the modern floating era: what do we really know?. (2009). Rogoff, Kenneth.
    In: Review of World Economics (Weltwirtschaftliches Archiv).
    RePEc:spr:weltar:v:145:y:2009:i:1:p:1-12.

    Full description at Econpapers || Download paper

  41. Broker-dealer risk appetite and commodity returns. (2009). Etula, Erkko.
    In: Staff Reports.
    RePEc:fip:fednsr:406.

    Full description at Econpapers || Download paper

  42. Forecast evaluation of small nested model sets. (2009). West, Kenneth ; Hubrich, Kirstin.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20091030.

    Full description at Econpapers || Download paper

  43. Comparing forecast accuracy: A Monte Carlo investigation. (2009). veronese, giovanni ; Marcucci, Juri ; Busetti, Fabio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_723_09.

    Full description at Econpapers || Download paper

  44. Empirical asset pricing with nonlinear risk premia. (2009). Schneider, Paul ; Mijatovic, Aleksandar.
    In: Papers.
    RePEc:arx:papers:0911.0928.

    Full description at Econpapers || Download paper

  45. International Stock Return Predictability Under Model Uncertainty. (2008). Schrimpf, Andreas.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:7358.

    Full description at Econpapers || Download paper

  46. Exchange Rate Forecasting: Evidence from the Emerging Central and Eastern European Economies. (2008). Ardic, Oya ; Ergin, Onur ; Senol, Bahar G..
    In: MPRA Paper.
    RePEc:pra:mprapa:7505.

    Full description at Econpapers || Download paper

  47. Forecast Evaluation of Small Nested Model Sets. (2008). West, Kenneth ; Hubrich, Kirstin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14601.

    Full description at Econpapers || Download paper

  48. The Continuing Puzzle of Short Horizon Exchange Rate Forecasting. (2008). Stavrakeva, Vania ; Rogoff, Kenneth.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14071.

    Full description at Econpapers || Download paper

  49. Predictive Systems: Living with Imperfect Predictors. (2008). Stambaugh, Robert ; Pastor, Lubos.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13804.

    Full description at Econpapers || Download paper

  50. Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?. (2008). Schrimpf, Andreas ; Schmeling, Maik.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2008-036.

    Full description at Econpapers || Download paper

  51. Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia. (2008). Soderberg, Jonas.
    In: CAFO Working Papers.
    RePEc:hhs:vxcafo:2009_010.

    Full description at Econpapers || Download paper

  52. The Taylor rule and forecast intervals for exchange rates. (2008). Wu, Jason ; Wang, Jian.
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:22.

    Full description at Econpapers || Download paper

  53. Forecasting aggregate stock returns using the number of initial public offerings as a predictor. (2008). Kolev, Gueorgui I..
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:7:y:2008:i:13:p:1-8.

    Full description at Econpapers || Download paper

  54. Forecasting aggregate stock returns using the number of initial public offerings as a predictor. (2008). Kolev, Gueorgui I..
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-08g10009.

    Full description at Econpapers || Download paper

  55. Quantifying the Impact of Oil Prices on Inflation. (2008). Bermingham, Colin .
    In: Research Technical Papers.
    RePEc:cbi:wpaper:8/rt/08.

    Full description at Econpapers || Download paper

  56. The Yield Curve and its Relation with Economic Activity: The Mexican Case.. (2008). Cerecero, Mario Reyna ; Banda, Hector Salgado ; Cavazos, Diana Salazar .
    In: Working Papers.
    RePEc:bdm:wpaper:2008-15.

    Full description at Econpapers || Download paper

  57. A Multivariate Perspective for Modeling and Forecasting Inflations Conditional Mean and Variance. (2007). Capasso, Marco.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2007/21.

    Full description at Econpapers || Download paper

  58. Exchange Rate Models Are Not as Bad as You Think. (2007). West, Kenneth ; Mark, Nelson ; Engel, Charles.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13318.

    Full description at Econpapers || Download paper

  59. Information combination and forecast (st)ability evidence from vintages of time-series data. (2007). Ciccarelli, Matteo ; Altavilla, Carlo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2007846.

    Full description at Econpapers || Download paper

  60. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-27 19:03:20 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.