Details

Autor(en) / Beteiligte

• Byrne, Joseph P.
• Korobilis, Dimitris
• Ribeiro, Pinho J.

Titel

ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY

Ist Teil von

• International economic review (Philadelphia), 2018-02, Vol.59 (1), p.329-357

Ort / Verlag

Philadelphia: Wiley Periodicals, Inc

Erscheinungsjahr

2018

Link zum Volltext

Quelle

EBSCOhost Business Source Ultimate

Beschreibungen/Notizen

• 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 find that models that embed a high degree of coefficient variability yield forecast improvements at horizons beyond one month. At the one-month horizon, and apart from the standard variance implied by unpredictable fluctuations in the data, the second and third sources of uncertainty listed above are key obstructions to predictive ability. The uncertainty regarding the choice of the predictors is negligible.