CONDITIONAL PREDICTIVE ABILITY OF EXCHANGE RATES IN LONG RUN REGRESSIONS: UNA EVALUACION CONDICIONAL CON REGRESIONES DE LARGO PLAZO

In this paper we evaluate exchange rate predictability using a framework developed by Giacomini and White (2006). This new framework tests for conditional predictive ability rather than unconditional predictive ability, which has been the standard approach. Using several shrinkage based forecasting...

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Autor principal:	PINCHEIRA,PABLO M
Lenguaje:	English
Publicado:	ILADES. Universidad Alberto Hurtado. 2013
Materias:	Exchange rate predictability conditional predictive ability Bayesian shrinkage ridge regression forecast evaluation
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702013000200001
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spelling	oai:scielo:S0718-887020130002000012014-01-20CONDITIONAL PREDICTIVE ABILITY OF EXCHANGE RATES IN LONG RUN REGRESSIONS: UNA EVALUACION CONDICIONAL CON REGRESIONES DE LARGO PLAZOPINCHEIRA,PABLO M Exchange rate predictability conditional predictive ability Bayesian shrinkage ridge regression forecast evaluation In this paper we evaluate exchange rate predictability using a framework developed by Giacomini and White (2006). This new framework tests for conditional predictive ability rather than unconditional predictive ability, which has been the standard approach. Using several shrinkage based forecasting methods, including new methods proposed here, we evaluate conditional predictability of five bilateral exchange rates at differing horizons. Our results indicate that for most currencies a random walk would not be the optimal forecasting method in a real time forecasting exercise, at least for some predictive horizons. We also show that our proposed shrinkage methods in general perform on par with Bayesian shrinkage and ridge regressions, and sometimes they even perform better.info:eu-repo/semantics/openAccessILADES. Universidad Alberto Hurtado.Revista de análisis económico v.28 n.2 20132013-10-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702013000200001en10.4067/S0718-88702013000200001
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Exchange rate predictability conditional predictive ability Bayesian shrinkage ridge regression forecast evaluation
spellingShingle	Exchange rate predictability conditional predictive ability Bayesian shrinkage ridge regression forecast evaluation PINCHEIRA,PABLO M CONDITIONAL PREDICTIVE ABILITY OF EXCHANGE RATES IN LONG RUN REGRESSIONS: UNA EVALUACION CONDICIONAL CON REGRESIONES DE LARGO PLAZO
description	In this paper we evaluate exchange rate predictability using a framework developed by Giacomini and White (2006). This new framework tests for conditional predictive ability rather than unconditional predictive ability, which has been the standard approach. Using several shrinkage based forecasting methods, including new methods proposed here, we evaluate conditional predictability of five bilateral exchange rates at differing horizons. Our results indicate that for most currencies a random walk would not be the optimal forecasting method in a real time forecasting exercise, at least for some predictive horizons. We also show that our proposed shrinkage methods in general perform on par with Bayesian shrinkage and ridge regressions, and sometimes they even perform better.
author	PINCHEIRA,PABLO M
author_facet	PINCHEIRA,PABLO M
author_sort	PINCHEIRA,PABLO M
title	CONDITIONAL PREDICTIVE ABILITY OF EXCHANGE RATES IN LONG RUN REGRESSIONS: UNA EVALUACION CONDICIONAL CON REGRESIONES DE LARGO PLAZO
title_short	CONDITIONAL PREDICTIVE ABILITY OF EXCHANGE RATES IN LONG RUN REGRESSIONS: UNA EVALUACION CONDICIONAL CON REGRESIONES DE LARGO PLAZO
title_full	CONDITIONAL PREDICTIVE ABILITY OF EXCHANGE RATES IN LONG RUN REGRESSIONS: UNA EVALUACION CONDICIONAL CON REGRESIONES DE LARGO PLAZO
title_fullStr	CONDITIONAL PREDICTIVE ABILITY OF EXCHANGE RATES IN LONG RUN REGRESSIONS: UNA EVALUACION CONDICIONAL CON REGRESIONES DE LARGO PLAZO
title_full_unstemmed	CONDITIONAL PREDICTIVE ABILITY OF EXCHANGE RATES IN LONG RUN REGRESSIONS: UNA EVALUACION CONDICIONAL CON REGRESIONES DE LARGO PLAZO
title_sort	conditional predictive ability of exchange rates in long run regressions: una evaluacion condicional con regresiones de largo plazo
publisher	ILADES. Universidad Alberto Hurtado.
publishDate	2013
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702013000200001
work_keys_str_mv	AT pincheirapablom conditionalpredictiveabilityofexchangeratesinlongrunregressionsunaevaluacioncondicionalconregresionesdelargoplazo
_version_	1714206210199126016

CONDITIONAL PREDICTIVE ABILITY OF EXCHANGE RATES IN LONG RUN REGRESSIONS: UNA EVALUACION CONDICIONAL CON REGRESIONES DE LARGO PLAZO

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