We demonstrate that short-run real exchange effective rate changes are dominated by
nominal effective exchange rate changes, while inflation rates are sticky and contribute little …

In this paper we show that the Chilean exchange rate has the ability to predict the returns of
oil and of three additional oil-related products: gasoline, propane and heating oil. We show …

A long-standing puzzle is the near-random-walk behavior of exchange rates. Recent
literature has proposed models to forecast exchange rates at medium-and long-horizons …

This paper tests the random walk hypothesis in the cryptocurrency market. Based on the well-
known Meese–Rogoff puzzle, we evaluate whether cryptocurrency returns are predictable or …

We show that in a popular model of exchange rate determination, the unobserved expected
future exchange rate can be substituted with the observed forward exchange rate. This …

We show that a straightforward modification of a trading-based test for predictability displays
interesting advantages over the Excess Profitability (EP) test proposed by Anatolyev and …

In this paper, we present a new asymptotically normal test for out-of-sample evaluation in
nested models. Our approach is a simple modification of a traditional encompassing test that …

We propose a useful way to predict building permits in the US, exploiting rich real-time data
from web search queries. The time series on building permits is usually considered as a …

This study proposes a novel method for forecasting the returns of assets comprising the
Ibovespa from January 1, 2016, to December 30, 2020, by integrating machine learning …

We explore the ability of core inflation to predict headline CPI annual inflation for a sample of
eight developing economies in Latin America over the period January 1995–May 2017. Our …