RDP 2025-09: Forecasts of Period-average Exchange Rates: Insights from Real-time Daily Data Appendix A: Point-in-time Sampled Nominal Bilateral Exchange Rates

Martin McCarthy and Stephen Snudden

December 2025

Table A1: Summary of Literature Focusing on Point-in-time Sampled Nominal Bilateral Exchange Rates
Paper Level or return Frequency Forecast target Benchmark Model estimation Real or nominal Real time
Edwards (1983) Level M EoP EoP EoP Nominal N
Meese and Rogoff (1983a) Level M EoP EoP EoP Nominal N
Meese and Rogoff (1983b) Level M EoP EoP EoP Nominal N
Fama (1984) Return M EoP EoP EoP Nominal N
Somanath (1986) Level M EoP* EoP* EoP* Nominal N
Boothe and Glassman (1987) Level M EoP EoP EoP Nominal N
Boughton (1987) Both M EoP* EoP* EoP* Nominal N
Wolff (1987) Level M EoP EoP EoP Nominal N
Hodrick (1989) Return M EoP EoP EoP Nominal N
Schinasi and Swamy (1989) Level M EoP* EoP* EoP* Nominal N
Diebold and Nason (1990) Return W MoP MoP MoP Nominal N
Engel and Hamilton (1990) Return Q EoP EoP EoP Nominal N
Chinn (1991) Level Q EoP EoP EoP Nominal N
Meese and Rose (1991) Level M EoP* EoP* EoP* Nominal N
Mizrach (1992) Return D EoP EoP EoP Nominal N
Canova (1993) Level W MoP MoP MoP Nominal N
Kräger and Kugler (1993) Return W EoP EoP EoP Nominal N
MacDonald and Taylor (1993) Level M EoP EoP EoP Nominal N
Throop (1993) Return Q EoP* EoP* EoP* Nominal N
Diebold, Gardeazabal and Yilmaz (1994) Return D SoP SoP SoP Nominal N
Engel (1994) Return Q EoP EoP EoP Nominal N
MacDonald and Taylor (1994) Level M EoP EoP EoP Nominal N
Chinn and Meese (1995) Level M EoP EoP EoP Nominal N
Diebold and Mariano (1995) Return M EoP EoP EoP Nominal Y
Mark (1995) Return Q EoP EoP EoP Nominal N
Clarida and Taylor (1997) Both W EoP EoP EoP Nominal Y
Groen (1999) Return M EoP EoP EoP Nominal N
Kilian (1999) Return Q EoP* EoP* EoP* Nominal N
Berkowitz and Giorgianni (2001) Return Q EoP EoP EoP Nominal N
Clements and Smith (2001) Level W EoP EoP EoP Nominal N
Hwang (2001) Return M EoP* EoP* EoP* Nominal N
Mark and Sul (2001) Return Q EoP EoP EoP Nominal N
Rapach and Wohar (2002) Level A EoP* EoP* EoP* Nominal N
Clarida et al (2003) Return W EoP† EoP† EoP† Nominal Y
Faust, Rogers and Wright (2003) Return Q EoP EoP EoP Nominal Y
Qi and Wu (2003) Level M EoP EoP EoP Nominal N
Rapach and Wohar (2004) Both Q EoP* EoP* EoP* Nominal N
Abhyankar, Sarno and Valente (2005) Return M EoP EoP EoP Nominal N
Cheung, Chinn and Garcia Pascual (2005) Both Q EoP EoP EoP Nominal N
Engel and West (2005) Level Q EoP EoP EoP Nominal N
Evans and Lyons (2005) Return D EoP EoP EoP Nominal N
Groen (2005) Level Q EoP EoP EoP Nominal N
Rossi (2005) Level Q EoP† EoP† EoP† Nominal N
Clark and West (2006) Return M EoP EoP EoP Nominal N
Rossi (2006) Return M EoP EoP EoP Nominal N
Engel et al (2007) Return Q EoP EoP EoP Nominal N
Moosa (2007) Level M EoP* EoP* EoP* Nominal N
Alquist and Chinn (2008) Level Q EoP EoP EoP Nominal N
Della Corte, Sarno and Tsiakas (2009) Return M EoP† EoP† EoP† Nominal N
Sarno and Valente (2009) Return Q EoP† EoP† EoP† Nominal Y
Adrian, Etula and Shin (2010) Return M EoP EoP EoP Nominal N
Altavilla and De Grauwe (2010) Both Q EoP* EoP* EoP* Nominal N
Bacchetta, van Wincoop and Beutler (2010) Return M EoP EoP EoP Nominal N
Cerra and Saxena (2010) Level A EoP EoP EoP Nominal N
Chen, Rogoff and Rossi (2010) Return Q EoP EoP EoP Nominal N
Rime, Sarno and Sojli (2010) Return D EoP EoP EoP Nominal N
Chinn and Moore (2011) Return M EoP EoP EoP Nominal N
Li (2011) Return M EoP EoP EoP Nominal N
López-Suárez and Rodríguez-López (2011) Return Q EoP EoP EoP Nominal N
Molodtsova, Nikolsko-Rzhevskyy and Papell (2011) Return Q MoP MoP MoP Nominal Y
Pacelli, Bevilacqua and Azzollini (2011) Level D EoP* EoP* EoP* Nominal N
Rossi and Sekhposyan (2011) Return M EoP EoP EoP Nominal N
Dal Bianco, Camacho and Pérez-Quirós (2012) Return W EoP EoP EoP Nominal N
Della Corte, Sarno and Sestieri (2012) Return Q EoP† EoP† EoP† Nominal Y
Rossi and Inoue (2012) Level M EoP† EoP† EoP† Nominal N
Wang and Wu (2012) Return M EoP EoP EoP Nominal N
Bashar and Kabir (2013) Level Q EoP* EoP* EoP* Nominal N
Chen and Tsang (2013) Return M EoP EoP EoP Nominal N
Galimberti and Moura (2013) Both M EoP EoP EoP Nominal N
Molodtsova and Papell (2013) Return Q EoP EoP EoP Nominal Y
Moosa and Burns (2013) Level M EoP* EoP* EoP* Nominal N
Morales-Arias and Moura (2013) Return M EoP* EoP* EoP* Nominal N
Park and Park (2013) Both Q EoP* EoP* EoP* Nominal N
Rossi (2013) Both M, Q EoP* EoP* EoP* Nominal N
Berge (2014) Return M EoP EoP EoP Nominal N
Garratt and Mise (2014) Return Q EoP EoP EoP Nominal N
Ince (2014) Return Q EoP EoP EoP Nominal Y
Moosa and Burns (2014a) Level M EoP* EoP* EoP* Nominal N
Moosa and Burns (2014b) Level M EoP* EoP* EoP* Nominal N
Moosa and Burns (2014c) Level M EoP* EoP* EoP* Nominal N
Burns and Moosa (2015) Return M EoP* EoP* EoP* Nominal N
Engel, Mark and West (2015) Return Q EoP EoP EoP Nominal N
Ferraro, Rogoff and Rossi (2015) Return D EoP EoP EoP Nominal Y
Ferraro, Rogoff and Rossi (2015) Return M SoP SoP SoP Nominal Y
Ferraro, Rogoff and Rossi (2015) Return Q MoP MoP MoP Nominal Y
Li, Tsiakas and Wang (2015) Return M EoP EoP EoP Nominal N
Beckmann and Schüssler (2016) Return M EoP EoP EoP Nominal Y
Byrne, Korobilis and Ribeiro (2016) Return Q EoP EoP EoP Nominal N
Zhang, Dufour and Galbraith (2016) Return D EoP* EoP* EoP* Nominal N
Kohlscheen, Avalos and Schrimpf (2017) Return D EoP* EoP* EoP* Nominal Y
Kouwenberg et al (2017) Return Q EoP* EoP* EoP* Nominal Y
Byrne, Korobilis and Ribeiro (2018) Return M EoP EoP EoP Nominal N
Christou et al (2018) Return M, Q EoP* EoP* EoP* Nominal N
Cheung et al (2019) Both Q EoP EoP EoP Nominal N
Engel et al (2019) Return M EoP EoP EoP Nominal N
Kremens and Martin (2019) Return M MoP MoP MoP Nominal N
Beckmann et al (2020) Return M EoP EoP EoP Nominal Y
Ca' Zorzi and Rubaszek (2020) Return M EoP EoP EoP Nominal N
Bork, Rovira Kaltwasser and Sercu (2022) Return M EoP EoP EoP Nominal N
Lilley et al (2022) Return M EoP* EoP* EoP* Nominal N
Liu and Shaliastovich (2022) Return M EoP EoP EoP Nominal N
Engel and Wu (2023a) Return M EoP EoP EoP Nominal N
Engel and Wu (2023b) Return M EoP EoP EoP Nominal N
Notes: Papers whose ‘Forecast target’ are point-in-time sampled nominal bilateral exchange rates. Authors were contacted for papers that did not provide information on temporal sampling; * denotes papers where the authors did not respond or responded and were unable to confirm so point-in-time sampling was assumed, whereas † denotes papers where the authors responded and confirmed point-in-time sampling. ‘Benchmark’ refers to the no-change forecast that the forecast was compared against. ‘Model estimation’ refers to the data used in estimation. ‘EoP’, ‘MoP’, and ‘SoP’ refer to end-, middle-, and start-of-period sampling, respectively.