The Out Of Sample Forecasting Performance Of Exchange Rate Models When Coefficients Are Allowed To Change
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The Out Of Sample Forecasting Performance Of Exchange Rate Models When Coefficients Are Allowed To Change
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Author : Garry J. Schinasi
language : en
Publisher:
Release Date : 1987
The Out Of Sample Forecasting Performance Of Exchange Rate Models When Coefficients Are Allowed To Change written by Garry J. Schinasi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Economic forecasting categories.
Demystifying The Meese Rogoff Puzzle
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Author : I. Moosa
language : en
Publisher: Springer
Release Date : 2014-12-17
Demystifying The Meese Rogoff Puzzle written by I. Moosa and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-17 with Business & Economics categories.
For the past 30 years international monetary economists have believed that exchange rate models cannot outperform the random walk in out-of-sample forecasting as a result of the 1983 paper written by Richard Meese and Kenneth Rogoff. Marking the culmination of their extensive research into the Meese-Rogoff puzzle, Moosa and Burns challenge the orthodoxy by demonstrating that the naïve random walk model can be outperformed by exchange rate models when forecasting accuracy is measured by metrics that do not rely exclusively on the magnitude of forecasting error. The authors present compelling evidence, supported by their own measure: the 'adjusted root mean square error', to finally solve the Meese-Rogoff puzzle and provide a new alternative. Demystifying the Meese-Rogoff Puzzle will appeal to academics with an interest in exchange rate economics and international monetary economics. It will also be a useful resource for central banks and financial institutions.
International Finance Discussion Papers
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Author :
language : en
Publisher:
Release Date : 1987
International Finance Discussion Papers written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with International finance categories.
Exchange Rate Equations Based On Interest Rate Rules
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Author : Mahir Binici
language : en
Publisher:
Release Date : 2011
Exchange Rate Equations Based On Interest Rate Rules written by Mahir Binici and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Out Of Sample Exchange Rate Predictability With Real Time Data
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Author : Onur Ince
language : en
Publisher:
Release Date : 2019
Out Of Sample Exchange Rate Predictability With Real Time Data written by Onur Ince and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This paper evaluates short-run out-of-sample exchange rate predictability with real-time data for 15 OECD countries from 1973 to 2013. We consider the Taylor rule fundamentals model, where the variables that enter the Taylor rule are used to forecast exchange rate changes, and the Taylor rule differentials model, where a Taylor rule with postulated coefficients is used in the forecasting regression. We find evidence of predictability with the Taylor rule fundamentals model for 9 out of 15 countries. The Taylor rule differentials model performs worse, and the evidence of predictability is the weakest with the conventional monetary and PPP models.
The Monetary Model Of Exchange Rates And Cointegration
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Author : Javier Gardeazabal
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
The Monetary Model Of Exchange Rates And Cointegration written by Javier Gardeazabal and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
These notes draw from the Theory of Cointegration in order to test the monetary model of exchange rate determination. Previous evidence shows that the monetary model does not capture the short run dynamics of the exchange rate, specially when assessed in terms of forecasting accuracy. Even though the monetary equations of exchange rate determination may be bad indicators of how exchange rates are determined in the short run, they couldstill describe long run equilibrium relationships between the exchange rate and its fundamentals. Stationary deviations from those long run relationships are allowed in the short run. This book also addresses severalissues on Cointegration. Chapter 6 studies the small sample distribution of the likelihood ratio test statistics (on the dimension and restrictions on the cointegrating space) under deviations from normality. This monograph also focuses on the issue of optimal prediction in partially nonstationary multivariate time series models. In particular, it caries out an exchange rate prediction exercise.
Journal Of Agricultural Economics Research
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Author :
language : en
Publisher:
Release Date : 1988
Journal Of Agricultural Economics Research written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Agriculture categories.
Exchange Rate Forecasting
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Author : Jon Faust
language : en
Publisher:
Release Date : 2003
Exchange Rate Forecasting written by Jon Faust and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
We examine the forecasting performance of standard macro models of exchange rates in real time, using dozens of different vintages of the OECDs Main Economic Indicators database. We calculate out-of-sample forecasts as they would have been made at the time, and compare them to a random walk alternative. The resulting "time series" of forecast performance indicates that both data revisions and changes in the sample period typically have large effects on exchange rate predictability. We show that the favorable evidence of long-horizon exchange rate predictability for the DM and Yen in Mark (1995) is present in only a narrow two-year window of data vintages around that used by Mark. In addition, approximately one-third of the improved forecasting performance of Mark's monetary model over a random walk is eventually undone by data revisions. Related to this, we find the models consistently perform better using original release data than using fully revised data. Finally, we find that model-based exchange rate forecasts are sometimes better when using Federal Reserve Staff forecasts of future fundamentals instead of actual future values of fundamentals. This contradicts a cherished presumption in the literature that dates all the way back to Meese and Rogoff (1983).
Nonlinear Exchange Rate Models
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Author : Lucio Sarno
language : en
Publisher: International Monetary Fund
Release Date : 2003-05-01
Nonlinear Exchange Rate Models written by Lucio Sarno and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-05-01 with Business & Economics categories.
This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange rates help resolve the "purchasing power parity (PPP) puzzles." The second question is whether recently developed nonlinear, regime-switching vector equilibrium correction models of the nominal exchange rate can beat a random walk model, the standard benchmark in the exchange rate literature, in terms of out-of-sample forecasting performance. Finally, issues related to the adequateness of standard methods of evaluation of (linear and nonlinear) exchange rate models are discussed with reference to different forecast accuracy criteria.
The Economics Of Exchange Rates
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Author : Lucio Sarno
language : en
Publisher: Cambridge University Press
Release Date : 2003-01-09
The Economics Of Exchange Rates written by Lucio Sarno and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-01-09 with Business & Economics categories.
In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.