Forecasting Exchange Rates Using the Kalman Filter with Oil Price as Exogenous Input: Evidence from CNY/SEK and USD/NOK
In this paper, we investigate the prediction performance of several models across different forecasts horizons for the CNY/SEK and USD/SEK exchange rates, with a focus on incorporating macroeconomic inputs. Over the course of time, the Kalman filter method has been widely applied in the exchange rate forecasting literature, while the predictive ability of the Box-Jenkins Transfer Function (BJ) mod
