| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4391 |
| DP4391 Exchange Rate Pass-Through into Import Prices | |
| Linda Goldberg; José Manuel Campa | |
| 发表日期 | 2004-05-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | A major puzzle in international finance is the inability of models based on monetary fundamentals to produce better out-of-sample forecasts of the nominal exchange rate than a naive random walk. While prior research has generally evaluated exchange rate forecasts using conventional statistical measures of forecast accuracy, in this Paper we investigate whether there is any economic value to the predictive power of monetary fundamentals for the exchange rate. We estimate, using a framework that allows for parameter uncertainty, the economic and utility gains to an investor who manages a portfolio based on exchange rate forecasts from a monetary fundamentals model. In contrast to much previous research, we find that the economic value of the exchange rate forecasts implied by monetary fundamentals can be substantially greater than the economic value of forecasts obtained using a random walk across a range of horizons. |
| 主题 | International Macroeconomics |
| 关键词 | Foreign exchange Monetary fundamentals Forecasting Parameter uncertainty Optimal portfolio |
| URL | https://cepr.org/publications/dp4391 |
| 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/533345 |
| 推荐引用方式 GB/T 7714 | Linda Goldberg,José Manuel Campa. DP4391 Exchange Rate Pass-Through into Import Prices. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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