| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3267 |
| DP3267 Did Sunspot Forces Cause the Great Depression? | |
| Mark Weder; Sharon G Harrison | |
| 发表日期 | 2002-03-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | A large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate. There is evidence, however, that the term structure of forward premia contains valuable information for forecasting future spot exchange rates and that exchange rate dynamics display non-linearities. This Paper proposes a term-structure forecasting model of exchange rates based on a regime-switching vector equilibrium correction model which is novel in this context. Our model significantly outperforms both a random walk and, to a lesser extent, a linear term-structure vector equilibrium correction model for four major dollar rates across a range of horizons. |
| 主题 | International Macroeconomics |
| 关键词 | Foreign exchange Term structure Forecasting Non-linearity Markov switching |
| URL | https://cepr.org/publications/dp3267 |
| 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/532294 |
| 推荐引用方式 GB/T 7714 | Mark Weder,Sharon G Harrison. DP3267 Did Sunspot Forces Cause the Great Depression?. 2002. |
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