BANKING ON CURRENCY FORECASTS - HOW PREDICTABLE IS CHANGE IN MONEY

• 成果类型: Article
• 署名作者: CHINN, MD; MEESE, RA
• 署名单位: University of California System; University of California Santa Cruz; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/0022-1996(94)01334-O
• 发表日期: 1995
• 页码: 161-178
• 关键词: Exchange rates; forecasting; random walk

摘要

The paper examines the predictive performance of four structural exchange rate models using both parametric and nonparametric techniques. Error correction versions of the models are fit so that plausible long-run elasticities can be imposed on the fundamental variables of each model. A variety of model evaluation statistics are reported. Our findings confirm that fundamental exchange rate models forecast no better than a random walk model for short-term prediction horizons. For longer horizons, error correction terms can explain exchange rate movements significantly better than a no change forecast for a subset of the models and currencies we consider.