| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2999 |
| DP2999 UK Inflation in the 1970s and 1980s: The Role of Output Gap Mismeasurement | |
| Edward Nelson; Kalin Nikolov | |
| 发表日期 | 2001-10-25 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | We propose an exchange rate model that can explain both the observed volatility and the persistence of real and nominal exchange rate movements and thus in some measure resolves Rogoff?s (1996) purchasing power parity puzzle. Our analysis reconciles the well-known difficulties in beating the random walk forecast model with the statistical evidence of nonlinear mean reversion in deviations from fundamentals. Our analysis also provides a compelling rationale for the long-horizon predictability of exchange rates. We find strong empirical support for long-horizon predictability, and we explain why it is difficult to exploit this predictability in real-time forecasts. Our results not only lend support to economists? beliefs that the exchange rate is inherently predictable, but they also help us to understand the reluctance of applied forecasters to abandon chartist methods in favor of models based on economic fundamentals. |
| 主题 | International Macroeconomics |
| 关键词 | Purchasing power parity Real exchange rate Random walk Economic models of exchange rate determination Long-horizon regression tests |
| URL | https://cepr.org/publications/dp2999 |
| 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/532059 |
| 推荐引用方式 GB/T 7714 | Edward Nelson,Kalin Nikolov. DP2999 UK Inflation in the 1970s and 1980s: The Role of Output Gap Mismeasurement. 2001. |
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