Browsing by Author "Rossi, B"
Now showing items 1-6 of 6
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Are Exchange Rates Really Random Walks? Some Evidence Robust To Parameter Instability
(2006-02)Many authors have documented that it is challenging to explain exchange rate fluctuations with macroeconomic fundamentals: a random walk forecasts future exchange rates better than existing macroeconomic models. This paper ... -
Can exchange rates forecast commodity prices?
(Quarterly Journal of Economics, 2010-08-01)We show that "commodity currency" exchange rates have surprisingly robust power in predicting global commodity prices, both in-sample and out-of-sample, and against a variety of alternative benchmarks. This result is of ... -
Confidence intervals for half-life deviations from purchasing power parity
(Journal of Business and Economic Statistics, 2005-10-01)Existing point estimates of half-life deviations from purchasing power parity (PPP), around 3-5 years, suggest that the speed of convergence is extremely slow. This article assesses the degree of uncertainty around these ... -
Do technology shocks drive hours up or down? A little evidence from an agnostic procedure
(Macroeconomic Dynamics, 2005-09-01)This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We ... -
Optimal tests for nested model selection with underlying parmeter instability
(Econometric Theory, 2005-10-01)This paper develops optimal tests for model selection between two nested models in the presence of underlying parameter instability. These are joint tests for both parameter instability and a null hypothesis on a subset ... -
Recursive predictability tests for real-time data
(JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2005-07)
