| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11042 |
| 来源ID | Working Paper 11042 |
| Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting | |
| Martin D.D. Evans; Richard K. Lyons | |
| 发表日期 | 2005-01-17 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine forecasting over horizons from one day to one month (the one-month horizon being where micro and macro analysis begin to overlap). Over our 3-year forecasting sample, we find that the micro-based model consistently out-performs both the random walk and the macro model. Micro-based forecasts account for almost 16 per cent of the sample variance in monthly spot rate changes. These results provide a level of empirical validation as yet unattained by other models. Our result that the micro-based model out-performs the macro model does not imply that macro fundamentals will never explain exchange rates. Quite the contrary, our findings are in fact consistent with the view that the principal driver of exchange rates is standard macro fundamentals. In Evans and Lyons (2004b)we report firm evidence that the non-public information that we exploit here for forecasting exchange rates is also useful for forecasting macro fundamentals themselves. |
| 主题 | International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w11042 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568677 |
| 推荐引用方式 GB/T 7714 | Martin D.D. Evans,Richard K. Lyons. Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11042.pdf（213KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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