| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11559 |
| DP11559 Point, interval and density forecasts of exchange rates with time-varying parameter models | |
| Massimiliano Marcellino; Angela Abbate | |
| 发表日期 | 2016-10-06 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence intervals, and is better suited at long horizons and in high-volatility periods. The biggest forecast improvements are obtained by modelling time variation in the volatilities of the innovations, rather than in the slope parameters. We do not find evidence that parameter time variation helps to unravel exchange rate predictability by macroeconomic fundamentals. However, an economic evaluation of the different forecast models reveals that controlling for parameter time variation and macroeconomic fundamentals leads to higher portfolios returns, and to higher utility values for investors. |
| 主题 | Monetary Economics and Fluctuations |
| URL | https://cepr.org/publications/dp11559 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540373 |
| 推荐引用方式 GB/T 7714 | Massimiliano Marcellino,Angela Abbate. DP11559 Point, interval and density forecasts of exchange rates with time-varying parameter models. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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