RDP 2025-09: Forecasts of Period-average Exchange Rates: Insights from Real-time Daily Data References

Abbate A and M Marcellino (2018), ‘Point, Interval and Density Forecasts of Exchange Rates with Time Varying Parameter Models’, Journal of the Royal Statistical Society Series A: Statistics in Society, 181(1), pp 155–179.

Abhyankar A, L Sarno and G Valente (2005), ‘Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability’, Journal of International Economics, 66(2), pp 325–348.

Adrian T, E Etula and HS Shin (2010), ‘Risk Appetite and Exchange Rates’ Federal Reserve Bank of New York Staff Report No 361, rev December 2015.

Alquist R and MD Chinn (2008), ‘Conventional and Unconventional Approaches to Exchange Rate Modelling and Assessment’, International Journal of Finance & Economics, 13(1), pp 2–13.

Altavilla C and P De Grauwe (2010), ‘Forecasting and Combining Competing Models of Exchange Rate Determination’, Applied Economics, 42(27), pp 3455–3480.

Amano RA and S van Norden (1995), ‘Terms of Trade and Real Exchange Rates: The Canadian Evidence’, Journal of International Money and Finance, 14(1), pp 83–104.

Amano RA and S van Norden (1998a), ‘Exchange Rates and Oil Prices’, Review of International Economics, 6(4), pp 683–694.

Amano RA and S van Norden (1998b), ‘Oil Prices and the Rise and Fall of the US Real Exchange Rate’, Journal of International Money and Finance, 17(2), pp 299–316.

Amemiya T and RY Wu (1972), ‘The Effect of Aggregation on Prediction in the Autoregressive Model’, Journal of the American Statistical Association, 67(339), pp 628–632.

Athanasopoulos G, RJ Hyndman, H Song and DC Wu (2011), ‘The Tourism Forecasting Competition’, International Journal of Forecasting, 27(3), pp 822–844.

Bacchetta P, E van Wincoop and T Beutler (2010), ‘Can Parameter Instability Explain the Meese-Rogoff Puzzle?’, in NBER International Seminar on Macroeconomics 2009, The University of Chicago Press, Chicago, pp 125–173.

Backus D (1984), ‘Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff’, The Canadian Journal of Economics, 17(4), pp 824–846.

Bańbura M, D Giannone and M Lenza (2015), ‘Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-sections’, International Journal of Forecasting, 31(3), pp 739–756.

Banerjee A, M Marcellino and I Masten (2014), ‘Forecasting with Factor-augmented Error Correction Models’, International Journal of Forecasting, 30(3), pp 589–612.

Bashar OKMR and SH Kabir (2013), ‘Relationship between Commodity Prices and Exchange Rate in Light of Global Financial Crisis: Evidence from Australia’, International Journal of Trade, Economics and Finance, 4(5), pp 265–269.

Bayoumi T, J Lee and S Jayanthi (2006), ‘New Rates from New Weights’, IMF Staff Papers, 53(2), pp 272–305.

Beckmann J, G Koop, D Korobilis and RA Schüssler (2020), ‘Exchange Rate Predictability and Dynamic Bayesian Learning’, Journal of Applied Econometrics, 35(4), pp 410–421.

Beckmann J and R Schüssler (2016), ‘Forecasting Exchange Rates under Parameter and Model Uncertainty’, Journal of International Money and Finance, 60, pp 267–288.

Benmoussa AA, R Ellwanger and S Snudden (forthcoming), ‘Carpe Diem: Can Daily Oil Prices Improve Model-based Forecasts of the Real Price of Crude Oil?’, International Journal of Forecasting.

Berge TJ (2014), ‘Forecasting Disconnected Exchange Rates’, Journal of Applied Econometrics, 29(5), pp 713–735.

Bergin PR (2003), ‘Putting the “New Open Economy Macroeconomics” to a Test’, Journal of International Economics, 60(1), pp 3–34.

Berkowitz J and L Giorgianni (2001), ‘Long-horizon Exchange Rate Predictability?’, The Review of Economics and Statistics, 83(1), pp 81–91.

Boothe P and D Glassman (1987), ‘Comparing Exchange Rate Forecasting Models: Accuracy versus Profitability’, International Journal of Forecasting, 3(1), pp 65–79.

Bork L, P Rovira Kaltwasser and P Sercu (2022), ‘Aggregation Bias in Tests of the Commodity Currency Hypothesis’, Journal of Banking & Finance, 135, Article 106392.

Boughton JM (1987), ‘Tests of the Performance of Reduced-form Exchange Rate Models’, Journal of International Economics, 23(1–2), pp 41–56.

Brewer KRW (1973), ‘Some Consequences of Temporal Aggregation and Systematic Sampling for ARMA and ARMAX Models’, Journal of Econometrics, 1(2), pp 133–154.

Burns K and IA Moosa (2015), ‘Enhancing the Forecasting Power of Exchange Rate Models by Introducing Nonlinearity: Does It Work?’, Economic Modelling, 50, pp 27–39.

Byrne JP, D Korobilis and PJ Ribeiro (2016), ‘Exchange Rate Predictability in a Changing World’, Journal of International Money and Finance, 62, pp 1–24.

Byrne JP, D Korobilis and PJ Ribeiro (2018), ‘On the Sources of Uncertainty in Exchange Rate Predictability’, International Economic Review, 59(1), pp 329–357.

Canova F (1993), ‘Modelling and Forecasting Exchange Rates with a Bayesian Time-varying Coefficient Model’, Journal of Economic Dynamics & Control, 17(1–2), pp 233–261.

Carriero A, G Kapetanios and M Marcellino (2009), ‘Forecasting Exchange Rates with a Large Bayesian VAR’, International Journal of Forecasting, 25(2), pp 400–417.

Ca' Zorzi M, A Cap, A Mijakovic and M Rubaszek (2022), ‘The Reliability of Equilibrium Exchange Rate Models: A Forecasting Perspective’, International Journal of Central Banking, 18(3), pp 229–280.

Ca' Zorzi M, M Kolasa and M Rubaszek (2017), ‘Exchange Rate Forecasting with DSGE Models’, Journal of International Economics, 107, pp 127–146.

Ca' Zorzi M, J Muck and M Rubaszek (2016), ‘Real Exchange Rate Forecasting and PPP: This Time the Random Walk Loses’, Open Economies Review, 27, pp 585–609.

Ca' Zorzi M and M Rubaszek (2020), ‘Exchange Rate Forecasting on a Napkin’, Journal of International Money and Finance, 104, Article 102168.

Cerra V and SC Saxena (2010), ‘The Monetary Model Strikes Back: Evidence from the World’, Journal of International Economics, 81(2), pp 184–196.

Chen S-L, JD Jackson, H Kim and P Resiandini (2014), ‘What Drives Commodity Prices?’, American Journal of Agricultural Economics, 96(5), pp 1455–1468.

Chen S-S and H-C Chen (2007), ‘Oil Prices and Real Exchange Rates’, Energy Economics, 29(3), pp 390–404.

Chen Y and K Rogoff (2003), ‘Commodity Currencies’, Journal of International Economics, 60(1), pp 133–160.

Chen Y, K Rogoff and B Rossi (2010), ‘Can Exchange Rates Forecast Commodity Prices?’, The Quarterly Journal of Economics, 125(3), pp 1145–1194.

Chen Y and KP Tsang (2013), ‘What Does the Yield Curve Tell Us about Exchange Rate Predictability?’, The Review of Economics and Statistics, 95(1), pp 185–205.

Cheung Y-W, MD Chinn and A Garcia Pascual (2005), ‘Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?’, Journal of International Money and Finance, 24(7), pp 1150–1175.

Cheung Y-W, MD Chinn, A Garcia Pascual and Y Zhang (2019), ‘Exchange Rate Prediction Redux: New Models, New Data, New Currencies’, Journal of International Money and Finance, 95, pp 332–362.

Chinn MD (1991), ‘Some Linear and Nonlinear Thoughts on Exchange Rates’, Journal of International Money and Finance, 10(2), pp 214–230.

Chinn MD and RA Meese (1995), ‘Banking on Currency Forecasts: How Predictable is Change in Money?’, Journal of International Economics, 38(1–2), pp 161–178.

Chinn MD and MJ Moore (2011), ‘Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set’, Journal of Money, Credit and Banking, 43(8), pp 1599–1624.

Christou C, R Gupta, C Hassapis and T Suleman (2018), ‘The Role of Economic Uncertainty in Forecasting Exchange Rate Returns and Realized Volatility: Evidence from Quantile Predictive Regressions’, Journal of Forecasting, 37(7), pp 705–719.

Clarida RH, L Sarno, MP Taylor and G Valente (2003), ‘The Out-of-sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond’, Journal of International Economics, 60(1), pp 61–83.

Clarida RH and MP Taylor (1997), ‘The Term Structure of Forward Exchange Premiums and the Forecastability of Spot Exchange Rates: Correcting the Errors’, The Review of Economics and Statistics, 79(3), pp 353–361.

Clark TE and KD West (2006), ‘Using Out-of-sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis’, Journal of Econometrics, 135(1–2), pp 155–186.

Clements KW and R Fry (2008), ‘Commodity Currencies and Currency Commodities’, Resources Policy, 33(2), pp 55–73.

Clements KW and Y Lan (2010), ‘A New Approach to Forecasting Exchange Rates’, Journal of International Money and Finance, 29(7), pp 1424–1437.

Clements MP and J Smith (2001), ‘Evaluating Forecasts from SETAR Models of Exchange Rates’, Journal of International Money and Finance, 20(1), pp 133–148.

Dal Bianco M, M Camacho and G Pérez-Quirós (2012), ‘Short-run Forecasting of the Euro-Dollar Exchange Rate with Economic Fundamentals’, Journal of International Money and Finance, 31(2), pp 377–396.

Della Corte P, L Sarno and G Sestieri (2012), ‘The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?’, The Review of Economics and Statistics, 94(1), pp 100–115.

Della Corte P, L Sarno and I Tsiakas (2009), ‘An Economic Evaluation of Empirical Exchange Rate Models’, The Review of Financial Studies, 22(9), pp 3491–3530.

Diebold FX, J Gardeazabal and K Yilmaz (1994), ‘On Cointegration and Exchange Rate Dynamics’, The Journal of Finance, 49(2), pp 727–735.

Diebold FX and RS Mariano (1995), ‘Comparing Predictive Accuracy’, Journal of Business & Economic Statistics, 13(3), pp 253–263.

Diebold FX and JA Nason (1990), ‘Nonparametric Exchange Rate Prediction?’, Journal of International Economics, 28(3–4), pp 315–332.

Dornbusch R (1987), ‘Exchange Rates and Prices’, The American Economic Review, 77(1), pp 93–106.

Edwards S (1983), ‘Floating Exchange Rates, Expectations and New Information’, Journal of Monetary Economics, 11(3), pp 321–336.

Eichenbaum MS, BK Johannsen and ST Rebelo (2021), ‘Monetary Policy and the Predictability of Nominal Exchange Rates’, The Review of Economic Studies, 88(1), pp 192–228.

Ellwanger R and S Snudden (2023), ‘Forecasts of the Real Price of Oil Revisited: Do They Beat the Random Walk?’, Journal of Banking & Finance, 154, Article 106962.

Ellwanger R, S Snudden and L Arango-Castillo (2023), ‘Seize the Last Day: Period-end-point Sampling for Forecasts of Temporally Aggregated Data’, Laurier Centre for Economic Research & Policy Analysis, LCERPA Working Paper No 2023-6, rev December 2024.

Engel C (1994), ‘Can the Markov Switching Model Forecast Exchange Rates?’, Journal of International Economics, 36(1–2), pp 151–165.

Engel C and JD Hamilton (1990), ‘Long Swings in the Dollar: Are They in the Data and Do Markets Know It?’, The American Economic Review, 80(4), pp 689–713.

Engel C, D Lee, C Liu, C Liu and SPY Wu (2019), ‘The Uncovered Interest Parity Puzzle, Exchange Rate Forecasting, and Taylor Rules’, Journal of International Money and Finance, 95, pp 317–331.

Engel C, NC Mark and KD West (2015), ‘Factor Model Forecasts of Exchange Rates’, Econometric Reviews, 34(1-2), pp 32–55.

Engel C, NC Mark, KD West, K Rogoff and B Rossi (2007), ‘Exchange Rate Models Are Not as Bad as You Think [with comments and discussion]’, in D Acemoglu, K Rogoff and M Woodford (eds), NBER Macroeconomics Annual, 22, University of Chicago Press, Chicago, pp 381–473.

Engel C and KD West (2005), ‘Exchange Rates and Fundamentals’, Journal of Political Economy, 113(3), pp 485–517.

Engel C and KD West (2006), ‘Taylor Rules and the Deutschmark: Dollar Real Exchange Rate’, Journal of Money, Credit and Banking, 38(5), pp 1175–1194.

Engel C and SPY Wu (2023a), ‘Forecasting the U.S. Dollar in the 21st Century’, Journal of International Economics, 141, Article 103715.

Engel C and SPY Wu (2023b), ‘Liquidity and Exchange Rates: An Empirical Investigation’, The Review of Economic Studies, 90(5), pp 2395–2438.

Evans MDD and RK Lyons (2005), ‘Meese-Rogoff Redux: Micro-based Exchange-rate Forecasting’, The American Economic Review, 95(2), pp 405–414.

Fama EF (1984), ‘Forward and Spot Exchange Rates’, Journal of Monetary Economics, 14(3), pp 319–338.

Faust J, JH Rogers and JH Wright (2003), ‘Exchange Rate Forecasting: The Errors We've Really Made’, Journal of International Economics, 60(1), pp 35–59.

Ferraro D, K Rogoff and B Rossi (2015), ‘Can Oil Prices Forecast Exchange Rates? An Empirical Analysis of the Relationship between Commodity Prices and Exchange Rates’, Journal of International Money and Finance, 54, pp 116–141.

Forbes K, I Hjortsoe and T Nenova (2018), ‘The Shocks Matter: Improving Our Estimates of Exchange Rate Pass-through’, Journal of International Economics, 114, pp 255–275.

Foroni C, M Marcellino and C Schumacher (2015), ‘Unrestricted Mixed Data Sampling (MIDAS): MIDAS Regressions with Unrestricted Lag Polynomials’, Journal of the Royal Statistical Society Series A: Statistics in Society, 178(1), pp 57–82.

Frankel JA and AK Rose (1995), ‘Empirical Research on Nominal Exchange Rates’, in G Grossman and K Rogoff (eds), Handbook of International Economics: Volume 3, Handbooks in Economics 3, Elsevier, Amsterdam, pp 1689–1729.

Fratzscher M, D Rime, L Sarno and G Zinna (2015), ‘The Scapegoat Theory of Exchange Rates: The First Tests’, Journal of Monetary Economics, 70, pp 1–21.

Froot KA and T Ramadorai (2005), ‘Currency Returns, Intrinsic Value, and Institutional-investor Flows’, The Journal of Finance, 60(3), pp 1535–1566.

Fullerton, Jr TM, M Hattori and C Calderón (2001), ‘Error Correction Exchange Rate Modeling: Evidence for Mexico’, Journal of Economics and Finance, 25(3), pp 358–368.

Galimberti JK and ML Moura (2013), ‘Taylor Rules and Exchange Rate Predictability in Emerging Economies’, Journal of International Money and Finance, 32, pp 1008–1031.

Garratt A and E Mise (2014), ‘Forecasting Exchange Rates Using Panel Model and Model Averaging’, Economic Modelling, 37, pp 32–40.

Ghysels E, A Sinko and R Valkanov (2007), ‘MIDAS Regressions: Further Results and New Directions’, Econometric Reviews, 26(1), pp 53–90.

Giacomini R and B Rossi (2010), ‘Forecast Comparisons in Unstable Environments’, Journal of Applied Econometrics, 25(4), pp 595–620.

Glas A and K Heinisch (2023), ‘Conditional Macroeconomic Survey Forecasts: Revisions and Errors’, Journal of International Money and Finance, 138, Article 102927.

Goldberg P and MM Knetter (1997), ‘Goods Prices and Exchange Rates: What Have We Learned?’, Journal of Economic Literature, 35(3), pp 1243–1272.

Gourinchas P-O and H Rey (2007), ‘International Financial Adjustment’, Journal of Political Economy, 115(4), pp 665–703.

Groen JJJ (1999), ‘Long Horizon Predictability of Exchange Rates: Is It for Real?’, Empirical Economics, 24(3), pp 451–469.

Groen JJJ (2005), ‘Exchange Rate Predictability and Monetary Fundamentals in a Small Multi-country Panel’, Journal of Money, Credit and Banking, 37(3), pp 495–516.

Ha J, MA Kose and F Ohnsorge (2021), ‘One-stop Source: A Global Database of Inflation’, World Bank Policy Research Working Paper 9737.

Harvey JT (2005), ‘Post Keynesian versus Neoclassical Explanations of Exchange Rate Movements: A Short Look at the Long Run’, Journal of Post Keynesian Economics, 28(2), pp 161–179.

Hatzinikolaou D and M Polasek (2005), ‘The Commodity-Currency View of the Australian Dollar: A Multivariate Cointegration Approach’, Journal of Applied Economics, 8(1), pp 81–99.

Hodrick RJ (1989), ‘Risk, Uncertainty, and Exchange Rates’, Journal of Monetary Economics, 23(3), pp 433–459.

Hooper P and J Morton (1982), ‘Fluctuations in the Dollar: A Model of Nominal and Real Exchange Rate Determination’, Journal of International Money and Finance, 1, pp 39–56.

Hwang J-K (2001), ‘Dynamic Forecasting of Monetary Exchange Rate Models: Evidence from Cointegration’, International Advances in Economic Research, 7(1), pp 51–64.

Hyndman R, G Athanasopoulos, C Bergmeir, G Caceres, L Chhay, K Kuroptev, M Mücke, M O'Hara-Wild, F Petropoulos, S Razbash, E Wang and F Yasmeen (2022), forecast: Forecasting Functions for Time Series and Linear Models. R package version 8.19, accessed December 2022. Available at <https://pkg.robjhyndman.com/forecast/>.

Ilzetzki E, CM Reinhart and K Rogoff (2019), ‘Exchange Arrangements Entering the Twenty-first Century: Which Anchor Will Hold?’, The Quarterly Journal of Economics, 134(2), pp 599–646.

Ince O (2014), ‘Forecasting Exchange Rates Out-of-sample with Panel Methods and Real-time Data’, Journal of International Money and Finance, 43, pp 1–18.

International Monetary Fund (2019), ‘The IMF Updates the Effective Exchange Rates Indices’, Press Release No 16/93, 27 March.

International Monetary Fund (2023), ‘Assumptions and Conventions’, World Economic Outlook: A Rocky Recovery, April, IMF, Washington, DC, pp ix–x.

Islam MF and MS Hasan (2006), ‘The Monetary Model of the Dollar-Yen Exchange Rate Determination: A Cointegration Approach’, International Journal of Business and Economics, 5(2), pp 129–145.

Issa R, R Lafrance and J Murray (2008), ‘The Turning Black Tide: Energy Prices and the Canadian Dollar’, Canadian Journal of Economics, 41(3), pp 737–759.

Jorion P and RJ Sweeney (1996), ‘Mean reversion in Real Exchange Rates: Evidence and Implications for Forecasting’, Journal of International Money and Finance, 15(4), pp 535–550.

Kilian L (1999), ‘Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-horizon Regressions?’, Journal of Applied Econometrics, 14(5), pp 491–510.

Kilian L and MP Taylor (2003), ‘Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?’, Journal of International Economics, 60(1), pp 85–107.

Klau M and SS Fung (2006), ‘The New BIS Effective Exchange Rate Indices’, BIS Quarterly Review, March, pp 51–65.

Kohlscheen E, FH Avalos and A Schrimpf (2017), ‘When the Walk Is Not Random: Commodity Prices and Exchange Rates’, International Journal of Central Banking, 13(2), pp 121–158.

Kohn R (1982), ‘When Is an Aggregate of a Time Series Efficiently Forecast by Its Past?’, Journal of Econometrics, 18(3), pp 337–349.

Kouwenberg R, A Markiewicz, R Verhoeks and RCJ Zwinkels (2017), ‘Model Uncertainty and Exchange Rate Forecasting’, Journal of Financial and Quantitative Analysis, 52(1), pp 341–363.

Kräger H and P Kugler (1993), ‘Non-linearities in Foreign Exchange Markets: A Different Perspective’, Journal of International Money and Finance, 12(2), pp 195–208.

Kremens L and I Martin (2019), ‘The Quanto Theory of Exchange Rates’, The American Economic Review, 109(3), pp 810–843.

Lee Q and S Snudden (2025), ‘Bottom-up Mixed-frequency Data Sampling (BUMIDAS)’, Unpublished manuscript, 25 July.

Li J, I Tsiakas and W Wang (2015), ‘Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?’, Journal of Financial Econometrics, 13(2), pp 293–341.

Li M (2011), ‘An Evaluation of Exchange Rate Models by Carry Trade’, Journal of Economics and International Finance, 3(2), pp 72–87.

Lilley A, M Maggiori, B Neiman and J Schreger (2022), ‘Exchange Rate Reconnect’, The Review of Economics and Statistics, 104(4), pp 845–855.

Liu Y and I Shaliastovich (2022), ‘Government Policy Approval and Exchange Rates’, Journal of Financial Economics, 143(1), pp 303–331.

López-Suárez CF and JA Rodríguez-López (2011), ‘Nonlinear Exchange Rate Predictability’, Journal of International Money and Finance, 30(5), pp 877–895.

Lütkepohl H (1986), ‘Forecasting Temporally Aggregated Vector ARMA Processes’, Journal of Forecasting, 5(2), pp 85–95.

MacDonald R (1998), ‘What Determines Real Exchange Rates?: The Long and the Short of It’, Journal of International Financial Markets, Institutions and Money, 8(2), pp 117–153.

MacDonald R and MP Taylor (1993), ‘The Monetary Approach to the Exchange Rate: Rational Expectations, Long-run Equilibrium, and Forecasting’, IMF Staff Papers, 40(1), pp 89–107.

MacDonald R and MP Taylor (1994), ‘The Monetary Model of the Exchange Rate: Long-run Relationships, Short-run Dynamics and How to Beat a Random Walk’, Journal of International Money and Finance, 13(3), pp 276–290.

Marcellino M (1999), ‘Some Consequences of Temporal Aggregation in Empirical Analysis’, Journal of Business & Economic Statistics, 17(1), pp 129–136.

Mark NC (1995), ‘Exchange Rates and Fundamentals: Evidence on Long-horizon Predictability’, The American Economic Review, 85(1), pp 201–218.

Mark NC and D Sul (2001), ‘Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel’, Journal of International Economics, 53(1), pp 29–52.

McCarthy M and S Snudden (forthcoming), ‘Predictable by Construction: Assessing Forecast Directional Accuracy of Temporal Aggregates’, Applied Economics.

Meese RA and K Rogoff (1983a), ‘Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?’, Journal of International Economics, 14(1–2), pp 3–24.

Meese RA and K Rogoff (1983b), ‘The Out-of-sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification?’, in J Frenkel (ed), Exchange Rates and International Macroeconomics, National Bureau of Economic Research Conference Report, University of Chicago Press, Chicago, pp 67–105.

Meese RA and K Rogoff (1988), ‘Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-rate Period’, The Journal of Finance, 43(4), pp 933–948.

Meese RA and AK Rose (1991), ‘An Empirical Assessment of Non-linearities in Models of Exchange Rate Determination’, The Review of Economic Studies, 58(3), pp 603–619.

Mizrach B (1992), ‘Multivariate Nearest-neighbour Forecasts of EMS Exchange Rates’, Journal of Applied Econometrics, 7(S1), pp S151–S163.

Molodtsova T, A Nikolsko-Rzhevskyy and DH Papell (2008), ‘Taylor Rules with Real-time Data: A Tale of Two Countries and One Exchange Rate’, Journal of Monetary Economics, 55(supplement), pp S63–S79.

Molodtsova T, A Nikolsko-Rzhevskyy and DH Papell (2011), ‘Taylor Rules and the Euro’, Journal of Money, Credit and Banking, 43(2-3), pp 535–552.

Molodtsova T and DH Papell (2009), ‘Out-of-sample Exchange Rate Predictability with Taylor Rule Fundamentals’, Journal of International Economics, 77(2), pp 167–180.

Molodtsova T and DH Papell (2013), ‘Taylor Rule Exchange Rate Forecasting during the Financial Crisis’, in F Giavazzi and KD West (eds), NBER International Seminar on Macroeconomics 2012, University of Chicago Press, Chicago, pp 55–97.

Moosa I (2007), ‘Neoclassical versus Post Keynesian Models of Exchange Rate Determination: A Comparison Based on Nonnested Model Selection Tests and Predictive Accuracy’, Journal of Post Keynesian Economics, 30(2), pp 169–185.

Moosa I and K Burns (2013), ‘The Monetary Model of Exchange Rates is Better than the Random Walk in Out-of-sample Forecasting’, Applied Economics Letters, 20(14), pp 1293–1297.

Moosa I and K Burns (2014a), ‘A Reappraisal of the Meese–Rogoff Puzzle’, Applied Economics, 46(1), pp 30–40.

Moosa I and K Burns (2014b), ‘Error Correction Modelling and Dynamic Specifications as a Conduit to Outperforming the Random Walk in Exchange Rate Forecasting’, Applied Economics, 46(25), pp 3107–3118.

Moosa I and K Burns (2014c), ‘The Unbeatable Random Walk in Exchange Rate Forecasting: Reality or Myth?’, Journal of Macroeconomics, 40, pp 69–81.

Morales-Arias L and GV Moura (2013), ‘Adaptive Forecasting of Exchange Rates with Panel Data’, International Journal of Forecasting, 29(3), pp 493–509.

Mumtaz H and L Sunder-Plassmann (2013), ‘Time-varying Dynamics of the Real Exchange Rate: An Empirical Analysis’, Journal of Applied Econometrics, 28(3), pp 498–525.

Newey WK and KD West (1987), ‘Hypothesis Testing with Efficient Method of Moments Estimation’, International Economic Review, 28(3), pp 777–787.

Pacelli V, V Bevilacqua and M Azzollini (2011), ‘An Artificial Neural Network Model to Forecast Exchange Rates’, Journal of Intelligent Learning Systems and Applications, 3(2), pp 57–69.

Park C and S Park (2013), ‘Exchange Rate Predictability and a Monetary Model with Time-varying Cointegration Coefficients’, Journal of International Money and Finance, 37, pp 394–410.

Pesaran MH and A Timmermann (2009), ‘Testing Dependence among Serially Correlated Multicategory Variables’, Journal of the American Statistical Association, 104(485), pp 325–337.

Petropoulos F, D Apiletti, V Assimakopoulos, MZ Babai, DK Barrow, S Ben Taieb, C Bergmeir, RJ Bessa, J Bijak, JE Boylan, J Browell, C Carnevale, JL Castle, P Cirillo, MP Clements, C Cordeiro, FL Cyrino Oliveira, S De Baets, A Dokumentov, J Ellison, P Fiszeder, PH Franses, DT Frazier, M Gilliland, MS Gönül, P Goodwin, L Grossi, Y Grushka-Cockayne, M Guidolin, M Guidolin, U Gunter, X Guo, R Guseo, N Harvey, DF Hendry, R Hollyman, T Januschowski, J Jeon, VRR Jose, Y Kang, AB Koehler, S Kolassa, N Kourentzes, S Leva, F Li, K Litsiou, S Makridakis, GM Martin, AB Martinez, S Meeran, T Modis, K Nikolopoulos, D Önkal, A Paccagnini, A Panagiotelis, I Panapakidis, JM Pavía, M Pedio, DJ Pedregal, P Pinson, P Ramos, DE Rapach, JJ Reade, B Rostami-Tabar, M Rubaszek, G Sermpinis, HL Shang, E Spiliotis, AA Syntetos, PD Talagala, TS Talagala, L Tashman, D Thomakos, T Thorarinsdottir, E Todini, JR Trapero Arenas, X Wang, RL Winkler, A Yusupova and F Ziel (2022), ‘Forecasting: Theory and Practice’, International Journal of Forecasting, 38(3), pp 705–871.

Qi M and Y Wu (2003), ‘Nonlinear Prediction of Exchange Rates with Monetary Fundamentals’, Journal of Empirical Finance, 10(5), pp 623–640.

Rapach DE and ME Wohar (2002), ‘Testing the Monetary Model of Exchange Rate Determination: New Evidence from a Century of Data’, Journal of International Economics, 58(2), pp 359–385.

Rapach DE and ME Wohar (2004), ‘Testing the Monetary Model of Exchange Rate Determination: A Closer Look at Panels’, Journal of International Money and Finance, 23(6), pp 867–895.

Rapach DE and ME Wohar (2006), ‘The Out-of-sample Forecasting Performance of Nonlinear Models of Real Exchange Rate Behavior’, International Journal of Forecasting, 22(2), pp 341–361.

Rime D, L Sarno and E Sojli (2010), ‘Exchange Rate Forecasting, Order Flow and Macroeconomic Information’, Journal of International Economics, 80(1), pp 72–88.

Rogoff K (1996), ‘The Purchasing Power Parity Puzzle’, Journal of Economic Literature, 34(2), pp 647–668.

Rogoff K and V Stavrakeva (2008), ‘The Continuing Puzzle of Short Horizon Exchange Rate Forecasting’, NBER Working Paper No 14071, rev August 2008.

Rossi B (2005), ‘Testing Long-horizon Predictive Ability with High Persistence, and the Meese– Rogoff Puzzle’, International Economic Review, 46(1), pp 61–92.

Rossi B (2006), ‘Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability’, Macroeconomic Dynamics, 10(1), pp 20–38.

Rossi B (2013), ‘Exchange Rate Predictability’, Journal of Economic Literature, 51(4), pp 1063–1119.

Rossi B and A Inoue (2012), ‘Out-of-sample Forecast Tests Robust to the Choice of Window Size’, Journal of Business & Economic Statistics, 30(3), pp 432–453.

Rossi B and T Sekhposyan (2011), ‘Understanding Models' Forecasting Performance', Journal of Econometrics, 164(1), pp 158–172.

Sarantis N (1999), ‘Modeling Non-linearities in Real Effective Exchange Rates’, Journal of International Money and Finance, 18(1), pp 27–45.

Sarno L and G Valente (2009), ‘Exchange Rates and Fundamentals: Footloose or Evolving Relationship?’, Journal of the European Economic Association, 7(4), pp 786–830.

Schinasi GJ and PAVB Swamy (1989), ‘The Out-of-sample Forecasting Performance of Exchange Rate Models when Coefficients Are Allowed to Change’, Journal of International Money and Finance, 8(3), pp 375–390.

Shambaugh J (2008), ‘A New Look at Pass-through’, Journal of International Money and Finance, 27(4), pp 560–591.

Siddique A and RJ Sweeney (1998), ‘Forecasting Real Exchange Rates’, Journal of International Money and Finance, 17(1), pp 63–70.

Somanath VS (1986), ‘Efficient Exchange Rate Forecasts: Lagged Models Better than the Random Walk’, Journal of international Money and Finance, 5(2), pp 195–220.

Tawadros GB (2001), ‘The Predictive Power of the Monetary Model of Exchange Rate Determination’, Applied Financial Economics, 11(3), pp 279–286.

Taylor MP, DA Peel and L Sarno (2001), ‘Nonlinear Mean-reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles’, International Economic Review, 42(4), pp 1015–1042.

Telser LG (1967), ‘Discrete Samples and Moving Sums in Stationary Stochastic Processes’, Journal of the American Statistical Association, 62(318), pp 484–499.

Throop AW (1993), ‘A Generalized Uncovered Interest Parity Model of Exchange Rates’, Federal Reserve Bank of San Francisco Economic Review, 2, pp 3–16.

Tiao GC (1972), ‘Asymptotic Behaviour of Temporal Aggregates of Time Series’, Biometrika, 59(3), pp 525–531.

Turner P and J Van ‘t dack (1993), Measuring International Price and Cost Competitiveness, BIS Economic Papers No 39, Bank for International Settlements, Basle.

van Aarle B, M Boss and J Hlouskova (2000), ‘Forecasting the Euro Exchange Rate Using Vector Error Correction Models’, Review of World Economics, 136(2), pp 232–258.

Vartia YO and PLI Vartia (1984), ‘Descriptive Index Number Theory and the Bank of Finland Currency Index’, The Scandinavian Journal of Economics, 86(3), pp 352–364.

Wang J and JJ Wu (2012), ‘The Taylor Rule and Forecast Intervals for Exchange Rates’, Journal of Money, Credit and Banking, 44(1), pp 103–144.

Wei WWS (1978), ‘Some Consequences of Temporal Aggregation in Seasonal Time Series Models’, in A Zellner (ed), Seasonal Analysis of Economic Time Series, National Bureau of Economic Research, Cambridge, pp 433–444.

Weiss AA (1984), ‘Systematic Sampling and Temporal Aggregation in Time Series Models’, Journal of Econometrics, 26(3), pp 271–281.

Wieland V and M Wolters (2013), ‘Forecasting and Policy Making’, in G Elliott and A Timmermann (eds), Handbook of Economic Forecasting: Volume 2A, Handbooks in Economics, North Holland, Amsterdam, pp 239–325.

Wolff CCP (1987), ‘Time-varying Parameters and the Out-of-sample Forecasting Performance of Structural Exchange Rate Models’, Journal of Business & Economic Statistics, 5(1), pp 87–97.

Working H (1960), ‘Note on the Correlation of First Differences of Averages in a Random Chain’, Econometrica, 28(4), pp 916–918.

Wright JH (2008), ‘Bayesian Model Averaging and Exchange Rate Forecasts’, Journal of Econometrics, 146(2), pp 329–341.

Zellner A and C Montmarquette (1971), ‘A Study of Some Aspects of Temporal Aggregation Problems in Econometric Analyses’, The Review of Economics and Statistics, 53(4), pp 335–342.

Zhang HJ, J-M Dufour and JW Galbraith (2016), ‘Exchange Rates and Commodity Prices: Measuring Causality at Multiple Horizons’, Journal of Empirical Finance, 36, pp 100–120.