G2TT
来源类型Discussion paper
规范类型论文
来源IDDP188
DP188 Exchange Rates, Innovations and Forecasting
Christian Wolff
发表日期1987-05-01
出版年1987
语种英语
摘要In this paper an ex-post forecasting experiment is performed on the basis of a version of the "news" model of exchange rate determination. A general finding is that the "news" formulation of monetary exchange rate models leads to relatively accurate ex post exchange rate forecasts. Often the results compare favourably with those obtained from the naive random walk forecasting rule. Thus, the evidence presented in this paper supports the argument that the 1983 finding by Meese and Rogoff (that structural models do not even outperform the random walk in an ex post forecasting experiment) may be due to the fact that the models were not properly tested in a "news" framework.
关键词Exchange rates Forecasting News Random walk
URLhttps://cepr.org/publications/dp188
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/529338
推荐引用方式
GB/T 7714
Christian Wolff. DP188 Exchange Rates, Innovations and Forecasting. 1987.
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