Conventional and unconventional approaches to exchange rate modeling and assessment
By: Menzie D. Chinn, Ron Alquist
Contributors: Alquist, Ron; National Bureau of Economic Research
Series: NBER working paper series -- working paper 12481; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 12481.
Publisher: National Bureau of Economic Research
Published: 2006
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] /
Description: "We examine the relative predictive power of the sticky price monetary model, uncovered interest parity, and a transformation of net exports and net foreign assets.  In addition to bringing Gourinchas and Rey's new approach and more recent data 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 our proxy for Gourinchas and Rey's measure of external imbalances outperforms a random walk at short horizons as do some of other models, although no single model uniformly outperforms the random walk forecast"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 9/7/2006.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.