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...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Journal of international economics 1983-02, Vol.14 (1), p.3-24
Hauptverfasser:	Meese, Richard A., Rogoff, Kenneth
Format:	Artikel
Sprache:	eng
Schlagworte:	Comparative analysis Forecasting techniques Foreign exchange rates Regression analysis Structured Time series
Online-Zugang:	Volltext
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