Medium-Term Exchange Rate Forecasting: What Can We Expect? Guy Meredith

ISBN: 9781281604736

Published: May 9th 2014

ebook

33 pages


Description

Medium-Term Exchange Rate Forecasting: What Can We Expect?  by  Guy Meredith

Medium-Term Exchange Rate Forecasting: What Can We Expect? by Guy Meredith
May 9th 2014 | ebook | PDF, EPUB, FB2, DjVu, talking book, mp3, ZIP | 33 pages | ISBN: 9781281604736 | 4.28 Mb

The medium-term predictability of exchange rate movements is examined using three models of fundamentals: purchasing power parity, the monetary model, and uncovered interest parity. While the first two approaches yield favorable in-sample results,MoreThe medium-term predictability of exchange rate movements is examined using three models of fundamentals: purchasing power parity, the monetary model, and uncovered interest parity.

While the first two approaches yield favorable in-sample results, these largely reflect finite-sample estimation biases. Adjusting for these biases, there is little evidence of predictability, consistent with the lack of systematic improvement in out-of-sample forecasting performance relative to a random walk.

Uncovered interest parity fares better at long horizons, but reflects information already embodied in market prices- in this sense, it may not be useful as an indicator of exchange rate misalignment. While more elaborate models of fundamentals might have better medium-term forecasting properties, careful attention must be paid to finite-sample biases in assessing predictability.



Enter answer





Related Archive Books



Related Books


Comments

Comments for "Medium-Term Exchange Rate Forecasting: What Can We Expect?":


haifastreetfoodtours.com

©2013-2015 | DMCA | Contact us