Exchange rate forecasting with DSGE models

• 成果类型: Article
• 署名作者: Ca'Zorzi, Michele; Kolasa, Marcin; Rubaszek, Michal
• 署名单位: Narodowy Bank Polski; Warsaw School of Economics; European Central Bank
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2017.03.011
• 发表日期: 2017
• 页码: 127-146
• 关键词: Forecasting; Exchange rates; New open economy macroeconomics; mean reversion

摘要

We run an exchange rate forecasting horse race, which highlights that three principles hold. First, forecasts should not replicate the high volatility of exchange rates observed in sample. Second, models should exploit the mean reversion of the real exchange rate over long horizons. Third, they should account for the international price co-movement seen in the data. Abiding by the first two principles an open-economy dynamic stochastic general equilibrium (DSGE) model performs well in forecasting the real but not the nominal exchange rate. Only approaches that conform to all three principles tend to outperform the random walk. (C) 2017 Elsevier B.V. All rights reserved.