European Business Schools Librarian's Group

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

Can Macroeconomists Get Rich Forecasting Exchange Rates?

Jesus Crespo Cuaresma (), Mauro Costantini () and Jaroslava Hlouskova ()
Additional contact information
Jesus Crespo Cuaresma: Department of Economics, Vienna University of Economics and Business
Mauro Costantini: Department of Economics and Finance, Brunel University
Jaroslava Hlouskova: Institute for Advanced Studies, Vienna

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

JEL-codes: C53; F31; F37 June 2014

Note: PDF Document

Full text files

wp176.pdf PDF-file 

Download statistics

Report problems with accessing this service to Sune Karlsson ().

This page generated on 2018-02-15 23:08:27.