This dissertation is a collection of three essays that use real-time data, which reflects information available to market participants at the time forecasts were made, to calculate output gaps and forecast exchange rates. The first study investigates the differences between real-time and ex-post output gap estimates using a newly-constructed international real-time data set over the period from 1973:Q1 to 2007:Q2. We extend the findings in Orphanides and van Norden (2002) for the United States that the use of ex-post information in calculating potential output, not the data revisions themselves, is the major cause of the difference between real-time and ex-post output gap estimates to nine additional OECD countries. The results are robust to the use various detrending methods. By using quasi real-time methods, reliable real-time output gap estimates can be constructed with revised data. / The second study evaluates out-of-sample exchange rate forecasting with Purchasing Power Parity (PPP) and Taylor rule fundamentals for 9 OECD countries vis-a-vis the U.S. dollar over the period from 1973:Q1 to 2009:Q1 at short and long horizons. In contrast with previous work, which reports "forecasts" using revised data, I construct a quarterly real-time dataset that incorporates only the information available to market participants when the forecasts are made. Using bootstrapped out-of-sample test statistics, the exchange rate model with Taylor rule fundamentals performs better at the one-quarter horizon and panel specifications are not able to improve its performance. The PPP model, however, forecasts better at the 16-quarter horizon and its performance increases with the panel framework. The results are in accord with previous research on long-run PPP and estimation of Taylor rule models. / The third paper evaluates out-of-sample exchange rate predictability with Taylor rule fundamentals for 10 OECD countries vis-a-vis the U.S. dollar at short horizons. In contrast with previous research on out-of-sample exchange rate forecasting with Taylor rules using panel data, this study finds evidence of exchange rate predictability. Using real-time quarterly data vintages for OECD countries from 2000:Q1 to 2010:Q2, the exchange rate model with Taylor rule fundamentals significantly outperforms the random walk benchmark at the one-quarter horizon within a panel specification.
| Identifer | oai:union.ndltd.org:CHENGCHI/U0003471028 |
| Creators | Ince, Onur. |
| Publisher | University of Houston. |
| Source Sets | National Chengchi University Libraries |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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