Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/122176
Authors: 
Costantini, Mauro
Crespo Cuaresma, Jesus
Hlouskova, Jaroslava
Year of Publication: 
2014
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 305
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.
Subjects: 
exchange rate forecasting
forecast combination
multivariate time series models
profitability
JEL: 
C53
F31
F37
Document Type: 
Working Paper

Files in This Item:
File
Size
560.89 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.