CAN THE MARKOV SWITCHING MODEL FORECAST EXCHANGE-RATES
成果类型：
Article
署名作者：
ENGEL, C
署名单位：
National Bureau of Economic Research; Federal Reserve System - USA
刊物名称：
JOURNAL OF INTERNATIONAL ECONOMICS
ISSN/ISSBN：
0022-1996
DOI：
10.1016/0022-1996(94)90062-0
发表日期：
1994
页码：
151-165
关键词：
摘要：
A Markov-switching model is fit for 18 exchange rates at quarterly frequencies. The model fits well in-sample for many exchange rates. By the mean-squared-error criterion, the Markov model does not generate superior forecasts to a random walk or the forward rate. There appears to be some evidence that the forecasts of the Markov model are superior at predicting the direction of change of the exchange rate.
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