Forecast performance of exchange rate models revisited
- 1 January 1991
- journal article
- research article
- Published by Taylor & Francis in Applied Economics
- Vol. 23 (1) , 187-196
- https://doi.org/10.1080/00036849108841063
Abstract
This paper re-evaluates the performance of reduced form exchange rate models by updating the Messe-Rogoff study (1983). This paper confirms earlier tests showing that simple monetary models do not perform well, but it finds more positive results for other monetary models that incorporate more dynamic econometric specifications. A simple error correction monetary model out-forecasts a random walk almost half of the time.Keywords
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