The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand

The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand

This paper analyses the out-of-sample forecasting performance of non-linear vs. linear models for the South African rand against the United States dollar and the British pound, in real terms. We compare the forecasting performance of point, interval and density forecasts for non-linear Band-TAR and...

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Bibliographic Details
Main Authors: Aye, Goodness C., Balcilar, Mehmet, Bosch, Adél, Gupta, Rangan, Stofberg, Francois
Format: Article
Language:English
Published: Università Carlo Cattaneo LIUC 2013-04-01
Series:The European Journal of Comparative Economics
Subjects:
Real exchange rate
Transaction costs
Band-threshold autoregressive model
Exponential smooth transition autoregressive model
Point forecast
Interval forecast
Density forecast
South Africa
Online Access:http://eaces.liuc.it/18242979201301/182429792013100106.pdf

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