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Forecasting China's foreign exchange reserves using dynamic model averaging: The roles of macroeconomic fundamentals, financial stress and economic uncertainty
2014
The North American journal of economics and finance
We develop models for examining possible predictors of growth of China's foreign exchange reserves that embrace Chinese and global trade, financial and risk (uncertainty) factors. Specifically, by comparing with other alternative models, we show that the dynamic model averaging (DMA) and dynamic model selection (DMS) models outperform not only linear models (such as random walk, recursive OLS-AR (1) models, recursive OLS with all predictive variables models) but also the Bayesian model
doi:10.1016/j.najef.2014.02.003
fatcat:vruoh7fgk5evrhitp2eqlcrp3a