Empirical exchange rate models of the seventies: Do they fit out of sample?
This study compares the out-of-sample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for the dollar/pound, dollar/mark, dollar/yen and trade-weighted dollar exch...
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| Veröffentlicht in: | Journal of international economics 1983-02, Vol.14 (1), p.3-24 |
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| container_title | Journal of international economics |
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| creator | Meese, Richard A. Rogoff, Kenneth |
| description | This study compares the out-of-sample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for the dollar/pound, dollar/mark, dollar/yen and trade-weighted dollar exchange rates. The candidate structural models include the flexible-price (Frenkel-Bilson) and sticky-price (Dornbusch-Frankel) monetary models, and a sticky-price model which incorporates the current account (Hooper-Morton). The structural models perform poorly despite the fact that we base their forecasts on actual realized values of future explanatory variables. |
| doi_str_mv | 10.1016/0022-1996(83)90017-X |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0022-1996 |
| ispartof | Journal of international economics, 1983-02, Vol.14 (1), p.3-24 |
| issn | 0022-1996 1873-0353 |
| language | eng |
| recordid | cdi_proquest_journals_225180539 |
| source | RePEc; Elsevier ScienceDirect Journals Complete; Periodicals Index Online |
| subjects | Comparative analysis Forecasting techniques Foreign exchange rates Regression analysis Structured Time series |
| title | Empirical exchange rate models of the seventies: Do they fit out of sample? |
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