| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14071 |
| 来源ID | Working Paper 14071 |
| The Continuing Puzzle of Short Horizon Exchange Rate Forecasting | |
| Kenneth S. Rogoff; Vania Stavrakeva | |
| 发表日期 | 2008-06-26 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | Are structural models getting closer to being able to forecast exchange rates at short horizons? Here we argue that misinterpretation of some new out-of-sample tests for nested models, over-reliance on asymptotic test statistics, and failure to sufficiently check robustness to alternative time windows have led many studies to overstate even the relatively thin positive results that have been found. We find that by allowing for common cross-country shocks in our panel forecasting specification, we are able to generate some improvement, but even that improvement is not entirely robust to the forecast window, and much of the gain appears to come from non-structural rather than structural factors. |
| 主题 | Econometrics ; Estimation Methods ; International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w14071 |
| 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/571796 |
| 推荐引用方式 GB/T 7714 | Kenneth S. Rogoff,Vania Stavrakeva. The Continuing Puzzle of Short Horizon Exchange Rate Forecasting. 2008. |
| 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 | ||
| w14071.pdf（653KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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