Exchange Rate Forecast

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2019-03-14

Factor Model Forecasts of Exchange Rates

We construct factors from a cross section of exchange rates and use the idiosyncratic deviations from the factors to forecast. In a stylized data generating process, we show that such forecasts can be

NBER2012-09-01 更新100

Consumption and Real Exchange Rates in Professional Forecasts

Standard models of international risk sharing with complete asset markets predict a positive association between relative consumption growth and real exchange-rate depreciation across countries. The s

NBER2009-03-01 更新20

Can Exchange Rates Forecast Commodity Prices?

We show that "commodity currency" exchange rates have remarkably robust power in predicting global commodity prices, both in-sample and out-of-sample, and against a variety of alternative benchmarks.

NBER2008-03-01 更新50

Can Oil Prices Forecast Exchange Rates?

This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find lit

NBER2012-04-01 更新40

Patterns in Exchange Rate Forecasts for 25 Currencies

We investigate the properties of exchange rate forecasts with a data set encompassing a broad cross section of currencies. The key finding is that expectations appear to be biased in our sample. This

NBER1991-08-01 更新60