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• W2897070368 abstract "This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features of the data can be exploited, even on the back of a napkin, to generate nominal exchange rate forecasts that outperform the random walk. The secret is to avoid estimating the pace of mean reversion and assume that relative prices are unchanged. Direct forecasting, panel data techniques and non-linear models can outperform the random walk, but fail to beat this simple calibrated model." @default.
• W2897070368 created "2018-10-26" @default.
• W2897070368 creator A5027275699 @default.
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• W2897070368 date "2020-06-01" @default.
• W2897070368 modified "2023-09-25" @default.
• W2897070368 title "Exchange rate forecasting on a napkin" @default.
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• W2897070368 doi "https://doi.org/10.1016/j.jimonfin.2020.102168" @default.
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