ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY

In a unified framework, we examine four sources of uncertainty in exchange rate forecasting models: (i) random variations in the data, (ii) estimation uncertainty, (iii) uncertainty about the degree of time variation in coefficients, and (iv) uncertainty regarding the choice of the predictor. We fin...

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Bibliographic details
Volume: 59
Main Author: Byrne, Joseph P
Korobilis, Dimitris
Ribeiro, Pinho J
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: HOBOKEN WILEY 01.02.2018
Wiley Subscription Services, Inc
published in: International economic review (Philadelphia) Vol. 59; no. 1; pp. 329 - 357
ORCID: 0000-0001-9146-3008
0000-0002-0623-0398
Data of publication: February 2018
ISSN: 0020-6598
1468-2354
EISSN: 1468-2354
Discipline: Economics
Bibliography: Conference, the 4th Workshop on “Financial Determinants of Exchange Rates,” and the 2014 Glasgow SIRE Econometric Workshop. We also thank Pasquale Della Corte, Lucio Sarno, and Giulia Sestieri for making the data associated with their paper (Della Corte et al.
2
We benefited from comments and discussions from three referees, the editor of this journal, Roberto Casarin, Pasquale Della Corte, Steven Englander, John Hydeskov, Gary Koop, Ronald MacDonald, Michael Melvin, Francesco Ravazzolo, Dagfinn Rime, Barbara Rossi, Christian Schumacher, Allan Timmermann, Shaun Vahey, Herman K. van Dijk, participants at the Norges Bank Research Spring Meeting (Oslo, 2015), the 25th EC
publicly available. Please address correspondence to: Dimitris Korobilis, Essex Business School, University of Essex, Colchester, CO4 3SQ, U.K. Phone: +44 (0)1206 873 072. E‐mail
.
d.korobilis@essex.ac.uk
Subjects:
FIT
US
Online Access: Fulltext
Database: Social Sciences Citation Index
Web of Science - Social Sciences Citation Index – 2018
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