A Reconsideration of the Meese-Rogoff Puzzle: An Alternative Approach to Model Estimation and Forecast Evaluation

No abstract is available for this paper.

• Publication year

  2016

• Venue

  Multinational Finance Journal

• Publication date

  2016-03-11

• Fields of study

  Economics

• Identifiers
  DOI 10.17578/20-1-2
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting

  2017influential reference
• A reappraisal of the Meese–Rogoff puzzle

  2014influential reference
• Why is it so difficult to outperform the random walk in exchange rate forecasting?

  2013cited by this paper
• Interpolating flow and stock variables in a continuous-time dynamic framework

  2013influential reference
• The contribution of economic fundamentals to movements in exchange rates

  2013cited by this paper
• The monetary model of exchange rates is better than the random walk in out-of-sample forecasting

  2013influential reference
• On the unstable relationship between exchange rates and macroeconomic fundamentals

  2013cited by this paper
• Can exchange rate models outperform the random walk? Magnitude, direction and profitability as criteria - I modelli di tasso cambio possono battere la “random walk”? Grandezza, direzione e profittabilità come criteri di comparazione

  2012influential reference
• Taylor Rule Exchange Rate Forecasting during the Financial Crisis

  2012cited by this paper
• Forecasting UK GDP Growth, Inflation and Interest Rates under Structural Change: A Comparison of Models with Time-Varying Parameters

  2012cited by this paper
• Nonlinearity and time-variation in the monetary model of exchange rates

  2011cited by this paper
• An evaluation of exchange rate models by carry trade

  2011influential reference
• The STAMP Software for State Space Models

  2011cited by this paper
• Do Peso Problems Explain the Returns to the Carry Trade

  2011cited by this paper
• Structural Time Series Analyser, Modeller and Predictor: STAMP 8.2.

  2009influential reference
• Out-of-sample exchange rate predictability with Taylor rule fundamentals

  2009cited by this paper
• An Economic Evaluation of Empirical Exchange Rate Models

  2009cited by this paper
• Structural Breaks and Time-varying Parameter: A Survey with Application

  2008cited by this paper
• An Omnibus Test for Univariate and Multivariate Normality

  2008influential reference
• Risk in carry trades: a look at target currencies in Asia and the Pacific

  2007influential reference
• On the notion of forecasting accuracy as applied to financial decision rules involving exchange rates

  2006influential reference
• Do Fundamentals Matter for the D-Mark/Euro-Dollar? A Regime Switching Approach

  2005cited by this paper
• Exchange Rates and Fundamentals

  2005cited by this paper
• Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability

  2005cited by this paper
• ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY

  2005cited by this paper
• Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?

  2003cited by this paper
• Macroeconomic forecasting in the Euro area: Country specific versus area-wide information

  2003cited by this paper
• Four Assumptions of Multiple Regression That Researchers Should Always Test.

  2002cited by this paper
• Institutional Members: CEPR, NBER and Università Bocconi WORKING PAPER SERIES Instability and non-linearity in the EMU

  2002cited by this paper
• Testing the monetary model of exchange rate determination: new evidence from a century of data

  2002cited by this paper
• Cross-Country Evidence on the Ability of the Nominal Interest Rate to Predict Inflation

  2002cited by this paper
• Exchange rate forecasting: the errors we've really made

  2001cited by this paper
• Exchange rate forecasting : techniques and applications

  2000influential reference
• Dynamic harmonic regression.

  1999cited by this paper
• Statistical algorithms for models in state space using SsfPack 2.2

  1999cited by this paper
• Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel

  1998influential reference
• Forecasting: Methods and Applications, 3rd Ed

  1997cited by this paper
• Estimating and testing linear models with multiple structural changes

  1995cited by this paper
• Can the Markov Switching Model Forecast Exchange Rates

  1994influential reference
• Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model

  1993influential reference
• A Utility Based Comparison of Some Models of Exchange Rate Volatility

  1992cited by this paper
• A Simple Nonparametric Test of Predictive Performance

  1992cited by this paper
• Long Swings in the Dollar: Are They in the Data and Do Markets Know It? The American Economic Review

  1990cited by this paper
• The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change

  1989influential reference
• Comparing exchange rate forecasting models : Accuracy versus profitability

  1987cited by this paper
• Time-Varying Parameters and the Out-of-Sample Forecasting Performance of Structural Exchange Rate Models

  1987influential reference
• Exchange rate models of the seventies. Do they fit out of sample

  1983influential reference
• Advertising and aggregate consumption: an analysis of causality

  1980cited by this paper
• Working Papers Working Papers Working Papers Working Papers Cointegration and Long-horizon Forecasting Cointegration and Long-horizon Forecasting

  year unknowninfluential reference

• Model selection for one‐day‐ahead AUD/USD, AUD/EUR forecasts

  2020cites this paper
• FACTOR MODELS AND TIME‐VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY

  2018cites this paper