EconPapers    
Economics at your fingertips  
 

Can Macroeconomists Get Rich Forecasting Exchange Rates?

Jesus Crespo Cuaresma (), Mauro Costantini () and Jaroslava Hlouskova ()

Department of Economics Working Papers from Vienna University of Economics and Business, Department of Economics

Abstract: 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.

Keywords: Exchange rate forecasting; forecast combination; multivariate time series models; profitability (search for similar items in EconPapers)
JEL-codes: C53 F31 F37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-for
Date: 2014-06
Note: PDF Document
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://epub.wu.ac.at/4181/1/wp176.pdf (application/pdf)

Related works:
Working Paper: Can Macroeconomists Get Rich Forecasting Exchange Rates? (2014) Downloads
Working Paper: Can Macroeconomists Get Rich Forecasting Exchange Rates? (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wiw:wiwwuw:wuwp176

Access Statistics for this paper

More papers in Department of Economics Working Papers from Vienna University of Economics and Business, Department of Economics Welthandelsplatz 1, 1020 Vienna, Austria.
Bibliographic data for series maintained by Department of Economics ().

 
Page updated 2019-09-10
Handle: RePEc:wiw:wiwwuw:wuwp176