| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13318 |
| 来源ID | Working Paper 13318 |
| Exchange Rate Models Are Not as Bad as You Think | |
| Charles Engel; Nelson C. Mark; Kenneth D. West | |
| 发表日期 | 2007-08-21 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | Standard models of exchange rates, based on macroeconomic variables such as prices, interest rates, output, etc., are thought by many researchers to have failed empirically. We present evidence to the contrary. First, we emphasize the point that "beating a random walk" in forecasting is too strong a criterion for accepting an exchange rate model. Typically models should have low forecasting power of this type. We then propose a number of alternative ways to evaluate models. We examine in-sample fit, but emphasize the importance of the monetary policy rule, and its effects on expectations, in determining exchange rates. Next we present evidence that exchange rates incorporate news about future macroeconomic fundamentals, as the models imply. We demonstrate that the models might well be able to account for observed exchange-rate volatility. We discuss studies that examine the response of exchange rates to announcements of economic data. Then we present estimates of exchange-rate models in which expected present values of fundamentals are calculated from survey forecasts. Finally, we show that out-of-sample forecasting power of models can be increased by focusing on panel estimation and long-horizon forecasts. |
| 主题 | International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w13318 |
| 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/570990 |
| 推荐引用方式 GB/T 7714 | Charles Engel,Nelson C. Mark,Kenneth D. West. Exchange Rate Models Are Not as Bad as You Think. 2007. |
| 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 | ||
| w13318.pdf（717KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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