Can macroeconomists get rich forecasting exchange rates?

Arbeitspapier

We provide a systematic comparison of the out-of-sample forecasts based on multivariate macroeconomic models and forecast combinations for the euro against the US dollar, the British pound, the Swiss franc and the Japanese yen. We use profit maximization measures based on directional accuracy and trading strategies in addition to standard loss minimization measures. When comparing predictive accuracy and profit measures, data snooping bias free tests are used. The results indicate that forecast combinations help to improve over benchmark trading strategies for the exchange rate against the US dollar and the British pound, although the excess return per unit of deviation is limited. For the euro against the Swiss franc or the Japanese yen, no evidence of generalized improvement in profit measures over the benchmark is found.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: IHS Economics Series ; No. 305

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Forecasting Models; Simulation Methods ; Foreign Exchange ; International Finance Forecasting and Simulation: Models and Applications
• Thema: exchange rate forecasting ; forecast combination ; multivariate time series models ; profitability

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Costantini, Mauro ; Crespo Cuaresma, Jesus ; Hlouskova, Jaroslava
• Ereignis: Veröffentlichung
• (wer): Institute for Advanced Studies (IHS)
• (wo): Vienna
• (wann): 2014

Weitere Informationen

• Handle: http://hdl.handle.net/10419/122176
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ