| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP7389
|
| DP7389 Keynesian government spending multipliers and spillovers in the euro area |
| Volker Wieland; Tobias Cwik
|
| 发表日期 | 2009-08-02
|
| 出版年 | 2009
|
| 语种 | 英语
|
| 摘要 | The empirical literature on nominal exchange rates shows that the current exchange rate is often a better predictor of future exchange rates than a linear combination of macroeconomic fundamentals. This result is behind the famous Meese-Rogoff puzzle. In this paper we evaluate whether parameter instability can account for this puzzle. We consider a theoretical reduced-form relationship between the exchange rate and fundamentals in which parameters are either constant or time varying. We calibrate the model to data for exchange rates and fundamentals and conduct the exact same Meese-Rogoff exercise with data generated by the model. Our main finding is that the impact of time-varying parameters on the prediction performance is either very small or goes in the wrong direction. To help interpret the findings, we derive theoretical results on the impact of time-varying parameters on the out-of-sample forecasting performance of the model. We conclude that it is not time-varying parameters, but rather small sample estimation bias, that explains the Meese-Rogoff puzzle. |
| 主题 | International Macroeconomics
|
| 关键词 | Exchange rate forecasting
Exchange rate models
|
| URL | https://cepr.org/publications/dp7389
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| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536226
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推荐引用方式
GB/T 7714 |
Volker Wieland,Tobias Cwik. DP7389 Keynesian government spending multipliers and spillovers in the euro area. 2009.
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