Measuring the Economic Significance of Structural Exchange Rate Models


Autoria(s): Cerrato, Mario; Crosby, John; Kaleem, Muhammad
Data(s)

26/07/2012

26/07/2012

2011

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

http://hdl.handle.net/10943/350

Publicador

University of Glasgow

Relação

SIRE DISCUSSION PAPER;SIRE-DP-2011-62

Palavras-Chave #monetary models #forecasting
Tipo

Working Paper