G2TT
来源类型Discussion paper
规范类型论文
来源IDDP6648
DP6648 Higher Order Expectations in Asset Pricing
Philippe Bacchetta; Eric van Wincoop
发表日期2008-01-18
出版年2008
语种英语
摘要Using novel real-time data on a broad set of economic fundamentals for five major US dollar exchange rates over the recent float, we employ a predictive procedure that allows the relationship between exchange rates and fundamentals to evolve over time in a very general fashion. Our key findings are that: (i) the well-documented weak out-of-sample predictive ability of exchange rate models may be caused by poor performance of model-selection criteria, rather than lack of information content in the fundamentals; (ii) the difficulty of selecting the best predictive model is largely due to frequent shifts in the set of fundamentals driving exchange rates, which can be interpreted as reflecting swings in market expectations over time. However, the strength of the link between exchange rates and fundamentals is different across currencies.
主题International Macroeconomics
关键词Economic fundamentals Exchange rates Forecasting
URLhttps://cepr.org/publications/dp6648
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/535481
推荐引用方式
GB/T 7714
Philippe Bacchetta,Eric van Wincoop. DP6648 Higher Order Expectations in Asset Pricing. 2008.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Philippe Bacchetta]的文章
[Eric van Wincoop]的文章
百度学术
百度学术中相似的文章
[Philippe Bacchetta]的文章
[Eric van Wincoop]的文章
必应学术
必应学术中相似的文章
[Philippe Bacchetta]的文章
[Eric van Wincoop]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。