G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15915
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
URLhttps://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。
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
[Charles Engel]的文章
[Steve Pak Yeung Wu]的文章
百度学术
百度学术中相似的文章
[Charles Engel]的文章
[Steve Pak Yeung Wu]的文章
必应学术
必应学术中相似的文章
[Charles Engel]的文章
[Steve Pak Yeung Wu]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。