The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change
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This article examined the performance of fixed and variable coefficient versions of conventional structural models, with and without a lagged dependent variable, and found that when coefficients are allowed to change, an important subset of conventional models of the dollar-pound, the dollar deutsche mark, and the dollar yen exchange rates can outperform forecasts of a random walk model.About:
This article is published in Journal of International Money and Finance.The article was published on 1987-01-01 and is currently open access. It has received 133 citations till now. The article focuses on the topics: Exchange rate & Variables.read more
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Journal ArticleDOI
Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period
Richard A. Meese,Kenneth Rogofp +1 more
TL;DR: This article explored the relationship between real exchange rates and real interest rate differentials in the United States, Germany, Japan, and the United Kingdom and found that there is little evidence of a stable relationship between the two variables.
Journal ArticleDOI
Currency traders and exchange rate dynamics: a survey of the US market
Yin-Wong Cheung,Menzie D. Chinn +1 more
TL;DR: In this paper, the authors report findings from a survey of United States foreign exchange traders, finding that electronic-brokered transactions have risen substantially, mostly at the expense of traditional brokers.
Book ChapterDOI
Chapter 33 Empirical research on nominal exchange rates
TL;DR: In this article, the authors present a critical survey and an interpretation of recent exchange rate research, focusing on empirical results for exchange rates among major industrialized countries and examining the issue of speculative bubbles.
Journal ArticleDOI
Exchange Rate Economics: A Survey
Ronald MacDonald,Mark P. Taylor +1 more
TL;DR: Two main views of exchange rate determination have evolved since the early 1970s: the monetary approach to the exchange rate (in flexible price, sticky price, and real interest differential formulations); and the portfolio balance approach as discussed by the authors.
Journal ArticleDOI
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?
TL;DR: The authors provide a selective overview of exchange rate economics and speculate on potential solutions to the forward bias and disconnection puzzles, and discuss several potential solutions. But they do not discuss the problem of the deconnexion of the nominal exchange rate.
References
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Journal ArticleDOI
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
TL;DR: In this article, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) processes are introduced, which are mean zero, serially uncorrelated processes with nonconstant variances conditional on the past, but constant unconditional variances.
Book
Time series analysis, forecasting and control
TL;DR: In this article, a complete revision of a classic, seminal, and authoritative book that has been the model for most books on the topic written since 1970 is presented, focusing on practical techniques throughout, rather than a rigorous mathematical treatment of the subject.
Journal ArticleDOI
Time Series Analysis Forecasting and Control
TL;DR: This revision of a classic, seminal, and authoritative book explores the building of stochastic models for time series and their use in important areas of application forecasting, model specification, estimation, and checking, transfer function modeling of dynamic relationships, modeling the effects of intervention events, and process control.
Journal ArticleDOI
Expectations and Exchange Rate Dynamics
TL;DR: In this paper, the authors developed a theory of exchange rate movements under perfect capital mobility, a slow adjustment of goods markets relative to asset markets, and consistent expectations, and showed that along that path a monetary expansion causes the exchange rate to depreciate.
Related Papers (5)
Empirical exchange rate models of the seventies: Do they fit out of sample?
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