Efficient exchange rate forecasts: Lagged models better than the random walk |
| |
| Affiliation: | 1. Department of Cardiology, Hospital General Universitario Gregorio Marañón, Instituto de Investigación Sanitaria Gregorio Marañón, Madrid, Spain;2. Universidad Complutense de Madrid, Spain;3. Universidad Europea de Madrid, Spain;1. KU Leuven, ESAT-STADIUS, Kasteelpark Arenberg 10, Leuven B-3001, Belgium;2. KU Leuven, Department of Computer Science, Celestijnenlaan 200A, Leuven B-3001, Belgium;1. Faculty of Engineering, China University of Geosciences, Wuhan, Hubei 430074, China;2. College of Civil Engineering, Tongji University, Shanghai 200092, China;3. Institute of Continuum Mechanics, Leibniz University Hannover, Hannover 30167, Germany |
| |
| Abstract: | The evidence of Meese amd Rogoff (1983) on the out-of-sample forecasting performance of structural exchange rate models in comparison to the random walk model portrays a disappointing picture of structural models. This paper re-considers the issue for the German mark for an updated period to include a larger set of structural models and lagged adjustment. Besides out-of-sample evidence, in-sample evidence is also examined. We conclude that while some stuctural models dominate the random walk, a lagged adjustment consideration can contribute towards better performance. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
