Selecting an appropriate statistical model to forecast exchange rates is still today a relevant issue for policymakers and central bankers. The socalled Meese and Rogoff puzzle assesses that exchange rate fluctuations are unpredictable. In the literature, a lot of studies tried to solve the puzzle finding both alternative predictors (e.g., interest rates, price levels) and statistical models based on temporal aggregation. In this paper, we propose an approach based on mixed frequency models to overcome the lack of information caused by temporal aggregation. We show the effectiveness of our approach with an application to CAD/USD exchange rate predictions.
A mixed frequency approach for exchange rates predictions / Mattera, R.; Misuraca, M.; Scepi, G.; Spano, M.. - In: ELECTRONIC JOURNAL OF APPLIED STATISTICAL ANALYSIS. - ISSN 2070-5948. - 14:1(2021), pp. 230-253. [10.1285/i20705948v14n1p230]
A mixed frequency approach for exchange rates predictions
Mattera R.Primo
;
2021
Abstract
Selecting an appropriate statistical model to forecast exchange rates is still today a relevant issue for policymakers and central bankers. The socalled Meese and Rogoff puzzle assesses that exchange rate fluctuations are unpredictable. In the literature, a lot of studies tried to solve the puzzle finding both alternative predictors (e.g., interest rates, price levels) and statistical models based on temporal aggregation. In this paper, we propose an approach based on mixed frequency models to overcome the lack of information caused by temporal aggregation. We show the effectiveness of our approach with an application to CAD/USD exchange rate predictions.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.