“Forecasting Summer School: Modeling and Forecasting the International Dimensions”

That’s the title of the 6th annual Forecasting Summer School, June 24-25, at the University of Virginia Darden School of Business, Charlottesville, where I’ll be the instructor. The deadline in March 27.

The course focuses on both modeling and forecasting, so using theory regarding open economy macroeconomics and international finance to discipline the forecasting of key variables. In some areas, theory has moved forward more than practical empirics, and in others empirical techniques have moved beyond theory. The course starts with a review of key cross border relationships in the context of continuing globalization, and then moves to sections on examining key variables: Business cycles, macro-financial linkages, current account balances, exchange and interest rates.

Some of the research I’ll tap include these papers.

  • Exchange Rate Prediction Redux: New Models, New Data, New Currencies,” Journal of International Money and Finance (2019) 95: 332-362 (with Yin-Wong Cheung, Antonio Garcia Pascual and Yi Zhang) [PDF].
  • “Do Foreign Yield Curves Predict U.S. Recessions and GDP Growth?” NBER Working Paper No. 30737 (Dec 2022) (with Rashad Ahmed). [PDF]
  • “The Predictive Content of Commodity Futures,” Journal of Futures Markets, July 2014 (with Olivier Coibion). [PDF]
  • “The New Fama Puzzle,” IMF Economic Review 2022 (with Matthieu Bussiere, Laurent Ferrara and Jonas Heipertz). [PDF]
  • “A Requiem for “Blame It on Beijing”: Interpreting Rotating Global Current Account Surpluses,” Journal of International Money and Finance 2021 (with Hiro Ito). [PDF]
  • “A Faith-based Initiative: Do We Really Know that a Flexible Exchange Rate Regime Facilitates Current Account Adjustment,” Review of Economics and Statistics (March 2013) (with Shang-Jin Wei) [PDF].
  • “Financial Spillovers and Macroprudential Policies,” (with Joshua Aizenman and Hiro Ito) Open Economies Review 31: 529–563 (2020) [PDF]
  • “A Decomposition of Global Linkages in Financial Markets Over Time,” Review of Economics and Statistics 86(3) (August 2004) (with Kristin Forbes) [PDF].

The summer school takes place just before this IIF conference.

 

 

 

4 thoughts on ““Forecasting Summer School: Modeling and Forecasting the International Dimensions””

  1. Moses Herzog

    Are you absolutely certain as an intelligent, highly educated Asian man Charlottesville is the city you want to travel to?? I wish I was trying to be funny. Did you see the video of how local Charlottesville “police” “protected” minorities during that city’s shenanigans?? Cornel West claimed Antifa saved his life while the police were nowhere to be seen.

  2. 2slugbaits

    CoRev lives in Virginia. Let us know if he signs up for your class. Too bad you didn’t include something on commodity markets. I’m sure he would dazzle everyone with his brilliance.

    1. Menzie Chinn Post author

      2slugbaits: In point of fact, I included Chinn and Coibion (2014), which assesses the use of futures as predictors. Given Mr. CoRev’s strongly held beliefs regarding the uselessness of futures to predict, in particular, soybean, I suspect he will not opt to attend. My guess is he favors the Western equivalent of yarrow sticks in his forecasting.

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