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https://hdl.handle.net/10419/64099
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Alquist, Ron | en |
dc.contributor.author | Chinn, Menzie D. | en |
dc.date.accessioned | 2009-07-14 | - |
dc.date.accessioned | 2012-09-21T11:55:26Z | - |
dc.date.available | 2012-09-21T11:55:26Z | - |
dc.date.issued | 2006 | - |
dc.identifier.uri | http://hdl.handle.net/10419/64099 | - |
dc.description.abstract | We examine the relative predictive power of the sticky price monetary model, uncovered interest parity, and a transformation of the net exports variable. In addition to bringing a new approach (utilizing our measure of external imbalance suggested by Gourinchas and Rey) and data spanning a more recent period 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 uncovered interest parity outperforms a random walk at long horizons and that the measure of external imbalance does well at short horizons, although we cannot duplicate the findings of Gourinchas and Rey. | en |
dc.language.iso | eng | en |
dc.publisher | |aUniversity of California, Santa Cruz Institute for International Economics (SCIIE) |cSanta Cruz, CA | en |
dc.relation.ispartofseries | |aWorking Paper |x06-05 | en |
dc.subject.jel | F31 | en |
dc.subject.jel | F47 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | exchange rates | en |
dc.subject.keyword | monetary model | en |
dc.subject.keyword | net foreign assets | en |
dc.subject.keyword | interest rate parity | en |
dc.subject.keyword | forecasting performance | en |
dc.subject.stw | Geldpolitik | en |
dc.subject.stw | Zins | en |
dc.subject.stw | Außenwirtschaft | en |
dc.subject.stw | Wechselkurs | en |
dc.subject.stw | Prognose | en |
dc.subject.stw | Random Walk | en |
dc.title | Conventional and unconventional approaches to exchange rate modeling and assessment | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 604626983 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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