全球智库信息集成服务系统(G2TT): Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w12481
来源ID	Working Paper 12481
	Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment
	Menzie D. Chinn; Ron Alquist
发表日期	2006-08-24
出版年	2006
语种	英语
摘要	We examine the relative predictive power of the sticky price monetary model, uncovered interest parity, and a transformation of net exports and net foreign assets. In addition to bringing Gourinchas and Rey's new approach and more recent data to bear, we implement the Clark and West (forthcoming) procedure for testing the significance of out-of-sample forecasts. The interest rate parity relation holds better at long horizons and the net exports variable does well in predicting exchange rates at short horizons in-sample. In out-of-sample forecasts, we find evidence that our proxy for Gourinchas and Rey's measure of external imbalances outperforms a random walk at short horizons as do some of other models, although no single model uniformly outperforms the random walk forecast.
主题	International Economics ; International Finance ; International Macroeconomics
URL	https://www.nber.org/papers/w12481
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/570138
推荐引用方式 GB/T 7714	Menzie D. Chinn,Ron Alquist. Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment. 2006.

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
w12481.pdf（336KB）	智库出版物		限制开放	CC BY-NC-SA	浏览