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• W1512191736 endingPage "152" @default.
• W1512191736 startingPage "127" @default.
• W1512191736 abstract "This paper compares the UK/US exchange rate forecasting performance of linear and nonlinear models based on monetary fundamentals, to a random walk (RW) model. Structural breaks are identified and taken into account. The exchange rate forecasting framework is also used for assessing the relative merits of the official Simple Sum and the weighted Divisia measures of money. Overall, there are four main findings. First, the majority of the models with fundamentals are able to beat the RW model in forecasting the UK/US exchange rate. Second, the most accurate forecasts of the UK/US exchange rate are obtained with a nonlinear model. Third, taking into account structural breaks reveals that the Divisia aggregate performs better than its Simple Sum counterpart. Finally, Divisia-based models provide more accurate forecasts than Simple Sum-based models provided they are constructed within a nonlinear framework." @default.
• W1512191736 created "2016-06-24" @default.
• W1512191736 creator A5023631884 @default.
• W1512191736 creator A5064846026 @default.
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• W1512191736 date "2010-12-10" @default.
• W1512191736 modified "2023-09-27" @default.
• W1512191736 title "FORECASTING THE UK/US EXCHANGE RATE WITH DIVISIA MONETARY MODELS AND NEURAL NETWORKS" @default.
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• W1512191736 doi "https://doi.org/10.1111/j.1467-9485.2010.00538.x" @default.
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