Forecasting and combining competing models of exchange rate determination

References

• Altavilla , C and De Grauwe , P . 2005 . Non-linearities in the relation between the exchange rate and its fundamentals CES-ifo Working Paper No. 1561
   Google Scholar
• Bates , JM and Granger , CWJ . 1969 . The combination of forecasts . Operational Research Quarterly , 20 : 513 – 22 .
   Google Scholar
• Berndt , E , Hall , B , Hall , R and Hausman , J . 1974 . Modelling the persistence of conditional variances . Annals of Economic and Social Measurement , 3 : 653 – 65 .
   Google Scholar
• Cheung , Y-W , Chinn , MD and Garcia Pascual , A . 2003 . Empirical exchange rate models of the nineties: are any fit to survive? , Santa Cruz : University of California . Working Paper No. 551
   Google Scholar
• Clarida , RH , Sarno , L , Taylor , MP and Valente , G . 2003 . The out-of-sample success of term structure models as exchange rate predictors: a step beyond . Journal of International Economics , 60 : 61 – 83 .
   Web of Science ®Google Scholar
• Clemen , RT . 1989 . Combining forecasts: a review and annotated bibliography . International Journal of Forecasting , 5 : 559 – 83 .
   Web of Science ®Google Scholar
• Diebold , FX and Nason , JA . 1990 . Nonparametric exchange rate prediction? . Journal of International Economics , 28 : 315 – 32 .
   Web of Science ®Google Scholar
• Diebold , FX and Mariano , RS . 1995 . Comparing predictive accuracy . Journal of Business and Economic Statistics , 13 : 253 – 63 .
   Web of Science ®Google Scholar
• Engel , C . 1994 . Can the Markov switching model forecast exchange rates? . Journal of International Economics , 36 : 151 – 65 .
   Web of Science ®Google Scholar
• Engel , C and Hamilton , JD . 1990 . Long swings in the dollar: are they in the data and do markets know it? . American Economic Review , 80 : 689 – 713 .
   Web of Science ®Google Scholar
• Fair , CR and Shiller , RJ . 1990 . Comparing information in forecasts from econometric models . American Economic Review , 80 : 375 – 89 .
   Web of Science ®Google Scholar
• Faust , J , Rogers , JH and Wright , JH . 2003 . Exchange rate forecasting: the errors we’ve really made . Journal of International Economics , 60 : 35 – 59 .
   Web of Science ®Google Scholar
• Frankel , JA and Rose , AK . 1995 . “ Empirical research on nominal exchange rates ” . In Handbook of International Economics , Edited by: Grossman , G and Rogoff , K . Vol. III , 1689 – 729 . Amsterdam : Elsevier-North Holland .
   Google Scholar
• Granger , CWJ and Newbold , P . 1976 . Forecasting transformed series . Journal of Royal Statistical Society B , 38 : 189 – 203 .
   Google Scholar
• Granger , CWJ and Ramanathan , R . 1984 . Improved methods of combining forecasts . Journal of Forecasting , 3 : 197 – 204 .
   Web of Science ®Google Scholar
• Granger , CWJ and Teräsvirta , T . 1993 . Modelling Non-Linear Economic Relationships , Oxford : Oxford University Press .
   Google Scholar
• Harvey , DI , Leybourne , SJ and Newbold , P . 1997 . Testing the equality of prediction mean squared errors . International Journal of Forecasting , 13 : 281 – 91 .
   Web of Science ®Google Scholar
• Hong , Y and Lee , T-H . 2003 . Inference on via generalized spectrum and nonlinear time series models . The Review of Economics and Statistics , 85 : 1048 – 62 .
   Web of Science ®Google Scholar
• Kilian , L and Taylor , MP . 2003 . Why is it so difficult to beat the random walk forecast of exchange rates? . Journal of International Economics , 60 : 85 – 107 .
   Web of Science ®Google Scholar
• Koopmans , LH . 1974 . The Spectral Analysis of Time Series , New York : Academic Press .
   Google Scholar
• Krolzig , H-M . 1997 . “ Markov-switching vector autoregressions ” . In Modelling, Statistical Inference and Application to Business Cycle Analysis, Lecture Notes in Economics and Mathematical Systems , Vol. 454 , Berlin : Springer .
   Google Scholar
• Mark , N . 1995 . Exchange rates and fundamentals: evidence on long-horizon predictability . American Economic Review , 85 : 201 – 18 .
   Web of Science ®Google Scholar
• Meese , RA . 1990 . Currency fluctuations in the post-Bretton Woods era . Journal of Economic Perspectives , 4 : 117 – 34 .
   Web of Science ®Google Scholar
• Meese , R and Rogoff , K . 1983 . Empirical exchange rate models of the seventies . Journal of International Economics , 14 : 3 – 24 .
   Web of Science ®Google Scholar
• Meese , RA and Rose , AK . 1990 . Nonlinear, nonparametric, nonessential exchange rate estimation . American Economic Review , 80 : 192 – 6 .
   Web of Science ®Google Scholar
• Meese , RA and Rose , AK . 1991 . An empirical assessment of non-linearities in models of exchange rate determination . Review of Economic Studies , 58 : 603 – 19 .
   Web of Science ®Google Scholar
• Sarno , L and Taylor , MP . 2002 . The Economics of Exchange Rates , Cambridge : Cambridge University Press .
   Google Scholar
• Sarno , L and Valente , G . 2005 . Exchange rate and fundamentals: footloose or evolving relationship? mimeo
   Google Scholar
• Taylor , MP and Peel , D . 2000 . Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals . Journal of International Money and Finance , 19 : 33 – 53 .
   Web of Science ®Google Scholar
• Taylor , MP , Peel , D and Sarno , L . 2001 . Nonlinear mean reversion in real exchange rates: towards a solution of the purchasing power parity puzzles . International Economic Review , 42 : 1015 – 42 .
   Web of Science ®Google Scholar
• Yang , Y . 2004 . Combining forecasting procedures: some theoretical results . Econometric Theory , 20 : 176 – 222 .
   Web of Science ®Google Scholar
• Yang , Y and Zou , H . 2004 . Combining time series models for forecasting . International Journal of Forecasting , 20 : 69 – 84 .
   Web of Science ®Google Scholar