Exchange rates and fundamentals: evidence on the economic value of predictability

• 成果类型: Article
• 署名作者: Abhyankar, A; Sarno, L; Valente, G
• 署名单位: University of Warwick; Durham University; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2004.09.003
• 发表日期: 2005
• 页码: 325-348
• 关键词: foreign exchange; monetary fundamentals; predictability; forecast evaluation; asset allocation

摘要

A major puzzle in international finance is the well-documented inability of models based on monetary fundamentals to produce better out-of-sample forecasts of the nominal exchange rate than a naive random walk. While this literature has generally employed statistical measures of forecast accuracy, we investigate whether there is any economic value to the predictive power of monetary fundamentals for the exchange rate. We find that, in the context of a simple asset allocation problem, the economic value of exchange rate forecasts from a fundamentals model can be greater than the economic value of random walk forecasts across a range of horizons. (c) 2004 Elsevier B.V. All rights reserved.