Matches in SemOpenAlex for { <https://semopenalex.org/work/W2892843339> ?p ?o ?g. }
Showing items 1 to 57 of
57
with 100 items per page.
- W2892843339 abstract "Previous assessments of forecasting performance of exchange rate models have focused upon a narrow set of models typically of the 1970’s vintage. The canonical papers in this literature are by Meese and Rogoff (1983, 1988), who examined monetary and portfolio balance models. Succeeding works by Mark (1995) and Chinn and Meese (1995) focused on similar models. In this paper we re-assess exchange rate prediction using a wider set of models that have been proposed in the last decade: interest rate parity, productivity based models, and a composite specification incorporating the real interest differential, portfolio balance and nontradables price channels. The performance of these models is compared against two reference specifications – the purchasing power parity and the Dornbusch-Frankel sticky price monetary model. The models are estimated in error correction and first-difference specifications. Rather than estimating the cointegrating vector over the entire sample and treating it as part of the ex ante information set as is commonly done in the literature, we also update the cointegrating vector, thereby generating true ex ante forecasts. We examine model performance at various forecast horizons (1 quarter, 4 quarters, 20 quarters) using differing metrics (mean squared error, direction of change), as well as the “consistency” test of Cheung and Chinn (1998). No model consistently outperforms a random walk, by a mean squared error measure; however, along a direction-of-change dimension, certain structural models do outperform a random walk with statistical significance. Moreover, one finds that these forecasts are cointegrated with the actual values of exchange rates, although in a large number of cases, the elasticity of the forecasts with respect to the actual values is different from unity. Overall, model/specification/currency combinations that work well in one period will not necessarily work well in another period." @default.
- W2892843339 created "2018-10-05" @default.
- W2892843339 creator A5021749510 @default.
- W2892843339 creator A5037231428 @default.
- W2892843339 creator A5063451521 @default.
- W2892843339 date "2002-12-01" @default.
- W2892843339 modified "2023-10-03" @default.
- W2892843339 title "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?" @default.
- W2892843339 doi "https://doi.org/10.3386/w9393" @default.
- W2892843339 hasPublicationYear "2002" @default.
- W2892843339 type Work @default.
- W2892843339 sameAs 2892843339 @default.
- W2892843339 citedByCount "50" @default.
- W2892843339 countsByYear W28928433392012 @default.
- W2892843339 countsByYear W28928433392013 @default.
- W2892843339 countsByYear W28928433392014 @default.
- W2892843339 countsByYear W28928433392019 @default.
- W2892843339 countsByYear W28928433392021 @default.
- W2892843339 countsByYear W28928433392022 @default.
- W2892843339 crossrefType "report" @default.
- W2892843339 hasAuthorship W2892843339A5021749510 @default.
- W2892843339 hasAuthorship W2892843339A5037231428 @default.
- W2892843339 hasAuthorship W2892843339A5063451521 @default.
- W2892843339 hasBestOaLocation W28928433391 @default.
- W2892843339 hasConcept C139719470 @default.
- W2892843339 hasConcept C149782125 @default.
- W2892843339 hasConcept C162324750 @default.
- W2892843339 hasConcept C2776988154 @default.
- W2892843339 hasConceptScore W2892843339C139719470 @default.
- W2892843339 hasConceptScore W2892843339C149782125 @default.
- W2892843339 hasConceptScore W2892843339C162324750 @default.
- W2892843339 hasConceptScore W2892843339C2776988154 @default.
- W2892843339 hasLocation W28928433391 @default.
- W2892843339 hasLocation W28928433392 @default.
- W2892843339 hasLocation W28928433393 @default.
- W2892843339 hasLocation W28928433394 @default.
- W2892843339 hasLocation W28928433395 @default.
- W2892843339 hasLocation W28928433396 @default.
- W2892843339 hasLocation W28928433397 @default.
- W2892843339 hasLocation W28928433398 @default.
- W2892843339 hasLocation W28928433399 @default.
- W2892843339 hasOpenAccess W2892843339 @default.
- W2892843339 hasPrimaryLocation W28928433391 @default.
- W2892843339 hasRelatedWork W1497849523 @default.
- W2892843339 hasRelatedWork W2022669373 @default.
- W2892843339 hasRelatedWork W2054498255 @default.
- W2892843339 hasRelatedWork W2084855980 @default.
- W2892843339 hasRelatedWork W2116731377 @default.
- W2892843339 hasRelatedWork W2211791139 @default.
- W2892843339 hasRelatedWork W3121609817 @default.
- W2892843339 hasRelatedWork W3124836082 @default.
- W2892843339 hasRelatedWork W3125691594 @default.
- W2892843339 hasRelatedWork W3202199938 @default.
- W2892843339 isParatext "false" @default.
- W2892843339 isRetracted "false" @default.
- W2892843339 magId "2892843339" @default.
- W2892843339 workType "report" @default.