Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

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Predictive content of equilibrium exchange rate models.

2019/33/B/HS4/01923

Keywords:

Equilibrium exchange rate models Forecasting Evaluating trading strategies Present value models Time series econometrics.

Descriptors:

  • HS4_6: Financial markets, international finance, public finance
  • HS4_3: Econometrics, statistical methods
  • HS4_13: International economics

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Szkoła Główna Handlowa w Warszawie, Kolegium Analiz Ekonomicznych

woj.

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr hab. Michał Jacek Rubaszek 

Number of co-investigators in the project: 3

Call: OPUS 17 - announced on 2019-03-15

Amount awarded: 299 900 PLN

Project start date (Y-m-d): 2020-02-05

Project end date (Y-m-d): 2023-12-04

Project duration:: 46 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Information in the final report

  • Publication in academic press/journals (11)
  1. Are consensus FX forecasts valuable for investors?
    Authors:
    Michal Rubaszek, Marek Kwas, Joscha Beckmann
    Academic press:
    International Journal of Forecasting (rok: 2024, tom: 40, strony: 268-284), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ijforecast.2023.02.007 - link to the publication
  2. The reliability of equilibrium exchange rate models: A forecasting perspective
    Authors:
    Michele Ca' Zorzi, Adam Cap, Andrej Mijakovic, Michał Rubaszek
    Academic press:
    International Journal of Central Banking (rok: 2022, tom: 74, strony: 229-280), Wydawca: 55 instytucji
    Status:
    Published
    DOI:
    BRAK - link to the publication
  3. Are consensus FX forecasts valuable for investors?
    Authors:
    Michal Rubaszek, Marek Kwas, Joscha Beckmann
    Academic press:
    International Journal of Forecasting (rok: 2023, tom: W recenzji, strony: W recencji), Wydawca: Elsevier
    Status:
    Submitted
  4. Boosting carry with equilibrium exchange rate estimates
    Authors:
    Michal Rubaszek, Joscha Beckmann, Michele Ca' Zorzi Marek, Kwas
    Academic press:
    Journal of International of Money and Finance (rok: 2024, tom: w recenzji, strony: w recenzji), Wydawca: Elsevier
    Status:
    Submitted
  5. How many fundamentals should we include in the behavioral equilibrium exchange rate model?
    Authors:
    Michele Ca' Zorzi,
    Academic press:
    Economic Modelling (rok: 2023, tom: Michał Rubaszek, strony: 106071), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.econmod.2022.106071 - link to the publication
  6. The reliability of equilibrium exchange rate models: A forecasting perspective
    Authors:
    Michele Ca' Zorzi, Adam Cap, Andrej Mijakovic, Michał Rubaszek
    Academic press:
    International Journal of Central Banking (rok: 2022, tom: -, strony: -), Wydawca: 55 instytucji
    Status:
    Accepted for publication
    DOI:
    DOI - link to the publication
  7. Forecasting: theory and practice
    Authors:
    Fotios Petropoulos, Daniele Apiletti, Vassilios Assimakopoulos, Mohamed Zied Babai, Devon K. Barrow, Souhaib Ben Taieb, Christoph Bergmeir, Ricardo J. Bessa, Jakub Bijak, John E. Boylan, Jethro Browell, Claudio Carnevale, Jennifer L. Castle, Pasquale Cirillo, Michael P. Clements, Clara Cordeiro, Fernando Luiz Cyrino Oliveira, Shari De Baets, Alexander Dokumentov, Joanne Ellison, Piotr Fiszeder, Philip Hans Franses, David T. Frazier, Michael Gilliland, M. Sinan Gönül, Paul Goodwin, Luigi Grossi, Yael Grushka-Cockayne, Mariangela Guidolin, Massimo Guidolin, Ulrich Gunter, Xiaojia Guo, Renato Guseo, Nigel Harvey, David F. Hendry, Ross Hollyman, Tim Januschowski, Jooyoung Jeon, Victor Richmond R. Jose, Yanfei Kang, Anne B. Koehler, Stephan Kolassa, Nikolaos Kourentzes, Sonia Leva, Feng Li, Konstantia Litsiou, Spyros Makridakis, Gael M. Martin, Andrew B. Martinez, Sheik Meeran, Theodore Modis, Konstantinos Nikolopoulos, Dilek Önkal, Alessia Paccagnini, Anastasios Panagiotelis, Ioannis Panapakidis, Jose M. Pavía, Manuela Pedio, Diego J. Pedregal, Pierre Pinson, Patrícia Ramos, David E. Rapach, J. James Reade, Bahman Rostami-Tabar, Michał Rubaszek, Georgios Sermpinis, Han Lin Shang, Evangelos Spiliotis, Aris A. Syntetos, Priyanga Dilini Talagala, Thiyanga S. Talagala, Len Tashman, Dimitrios Thomakos, Thordis Thorarinsdottir, Ezio Todini, Juan Ramón Trapero Arenas, Xiaoqian Wang, Robert L. Winkler, Alisa Yusupova, Florian Ziel
    Academic press:
    International Journal of Forecasting (rok: 2022, tom: 38, strony: 705-871), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ijforecast.2021.11.001 - link to the publication
  8. Does exchange rate misalignment lead changes in macroeconomic fundamentals?
    Authors:
    Piotr Dybka, Michał Rubaszek
    Academic press:
    Argumenta Oeconomica (rok: 2024, tom: NA, strony: NA), Wydawca: Uniwersytet Ekonomiczny we Wrocławiu
    Status:
    Accepted for publication
    DOI:
    NA - link to the publication
  9. Forecasting: theory and practice
    Authors:
    Fotios Petropoulos, Daniele Apiletti, Vassilios Assimakopoulos, Mohamed Zied Babai, Devon K. Barrow, Souhaib Ben Taieb, Christoph Bergmeir, Ricardo J. Bessa, Jakub Bijak, John E. Boylan, Jethro Browell, Claudio Carnevale, Jennifer L. Castle, Pasquale Cirillo, Michael P. Clements, Clara Cordeiro, Fernando Luiz Cyrino Oliveira, Shari De Baets, Alexander Dokumentov, Joanne Ellison, Piotr Fiszeder, Philip Hans Franses, David T. Frazier, Michael Gilliland, M. Sinan Gönül, Paul Goodwin, Luigi Grossi, Yael Grushka-Cockayne, Mariangela Guidolin, Massimo Guidolin, Ulrich Gunter, Xiaojia Guo, Renato Guseo, Nigel Harvey, David F. Hendry, Ross Hollyman, Tim Januschowski, Jooyoung Jeon, Victor Richmond R. Jose, Yanfei Kang, Anne B. Koehler, Stephan Kolassa, Nikolaos Kourentzes, Sonia Leva, Feng Li, Konstantia Litsiou, Spyros Makridakis, Gael M. Martin, Andrew B. Martinez, Sheik Meeran, Theodore Modis, Konstantinos Nikolopoulos, Dilek Önkal, Alessia Paccagnini, Anastasios Panagiotelis, Ioannis Panapakidis, Jose M. Pavía, Manuela Pedio, Diego J. Pedregal, Pierre Pinson, Patrícia Ramos, David E. Rapach, J. James Reade, Bahman Rostami-Tabar, Michał Rubaszek, Georgios Sermpinis, Han Lin Shang, Evangelos Spiliotis, Aris A. Syntetos, Priyanga Dilini Talagala, Thiyanga S. Talagala, Len Tashman, Dimitrios Thomakos, Thordis Thorarinsdottir, Ezio Todini, Juan Ramón Trapero Arenas, Xiaoqian Wang, Robert L. Winkler, Alisa Yusupova, Florian Ziel
    Academic press:
    International Journal of Forecasting (rok: 2022, tom: 38, strony: 705-871), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ijforecast.2021.11.001 - link to the publication
  10. The reliability of equilibrium exchange rate models: A forecasting perspective
    Authors:
    Michele Ca' Zorzi, Adam Cap, Andrej Mijakovic, Michał Rubaszek
    Academic press:
    International Journal of Central Banking (rok: 2022, tom: 74, strony: 229-280), Wydawca: 55 instytucji
    Status:
    Published
    DOI:
    BRAK - link to the publication
  11. How many fundamentals should we include in the behavioral equilibrium exchange rate model?
    Authors:
    Michele Ca' Zorzi,
    Academic press:
    Economic Modelling (rok: 2023, tom: Michał Rubaszek, strony: 106071), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.econmod.2022.106071 - link to the publication

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