| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15915 |
| DP15915 Forecasting the U.S. Dollar in the 21st Century | |
| Charles Engel; Steve Pak Yeung Wu | |
| 发表日期 | 2021-03-14 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | The level of the (log of) the exchange rate seems to have strong forecasting power for dollar exchange rates against major currencies post-2000 at medium- to long-run horizons of 12-, 36- and 60-months. We find that this is true using conventional asymptotic statistics correcting for serial correlation biases. But correcting for small-sample bias using simulation methods, we find little evidence to reject a random walk. This small sample bias arises because of near-spurious correlation when the predictor variable is persistent and the horizon for exchange rate forecasts is long. Similar problems of spurious correlation may arise when other persistent variables are used to forecast changes in the exchange rate. We find, in fact, using asymptotic statistics, the level of the exchange rate provides better forecasts than economic measures of “global risk”, and the measures of global risk do not improve the (possibly spurious) forecasting power of the level of the exchange rate. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Forecasting exchange rates |
| URL | https://cepr.org/publications/dp15915 |
| 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/544907 |
| 推荐引用方式 GB/T 7714 | Charles Engel,Steve Pak Yeung Wu. DP15915 Forecasting the U.S. Dollar in the 21st Century. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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