Monetary models of exchange rates and the random walk
| Data(s) |
01/01/2006
|
|---|---|
| Resumo |
Three alternative monetary models of exchange rate are tested using data on the Italian lira - US doIIar exchange rate. II is shown that up to the early 1990s these economic models perform better than the random walk model in out-of-sample forecasts.<br /> |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
University of Calcutta |
| Relação |
http://dro.deakin.edu.au/eserv/DU:30009140/n20062170.pdf http://dro.deakin.edu.au/eserv/DU:30009140/sgro-monetarymodels-2006.pdf |
| Direitos |
2006, University of Calcutta |
| Palavras-Chave | #monetary models of exchange rate #random walk with drift #out-of-sample forecasts #efficient market hypothesis |
| Tipo |
Journal Article |
