The continuing puzzle of short horizon exchange rate forecasting
By: Kenneth S. Rogoff, Vania Stavrakeva.
Contributors: Stavrakeva, Vania.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 14071; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 14071.
Publisher: National Bureau of Economic Research
Published: 2008
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "Are structural models getting closer to being able to forecast exchange rates at short horizons? Here we argue that over-reliance on asymptotic test statistics in out-of-sample comparisons, misinterpretation of some tests, and failure to sufficiently check robustness to alternative time windows has 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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 7/18/2008.

Includes bibliographical references.

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