Measuring the Economic Significance of Structural Exchange Rate Models
Data(s) |
26/07/2012
26/07/2012
2011
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Resumo |
This paper examines both the in-sample and out-of-sample performance of three monetary fundamental models of exchange rates and compares their out-of-sample performance to that of a simple Random Walk model. Using a data-set consisting of five currencies at monthly frequency over the period January 1980 to December 2009 and a battery of newly developed performance measures, the paper shows that monetary models do better (in-sample and out-of-sample forecasting) than a simple Random Walk model. |
Identificador | |
Publicador |
University of Glasgow |
Relação |
SIRE DISCUSSION PAPER;SIRE-DP-2011-62 |
Palavras-Chave | #monetary models #forecasting |
Tipo |
Working Paper |