| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP188 |
| 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 |
| URL | https://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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