Exchange rate forecasting: the errors we've really made

• 成果类型: Article; Proceedings Paper
• 署名作者: Faust, J; Rogers, JH; Wright, JH
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(02)00058-2
• 发表日期: 2003
• 页码: 35-59
• 关键词: monetary model; real time data; random walk

摘要

We examine the real-time forecasting performance of standard exchange rate models, using dozens of different vintages of data. Favorable evidence of long-horizon exchange rate predictability for the DM and Yen found in Mark (American Economic Review 1995;85:201-218) is present in only a two-year window of data vintages around that originally used. Approximately one-third of the improved forecasting performance over a random walk is eventually undone by data revisions. We also find the models consistently perform better using original release data than fully-revised data, and sometimes forecast better using real-time forecasts of future fundamentals instead of actual future fundamentals, contradicting a cherished presumption dating back to Meese and Rogoff (Journal of International Economics 1983;14:3-24). (C) 2002 Elsevier Science B.V. All rights reserved.