UNSPECIFIED (2005) Empirical exchange rate models and currency risk: some evidence from density forecasts. In: 8th International Conference on Macroeconomic Analysis and International Finance, Univ Crete, Rethymno, GREECE, MAY 27-29, 2004. Published in: JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 24 (2). pp. 363-385.

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Abstract

A large literature in exchange rate economics has investigated the forecasting performance of empirical exchange rate models using conventional point forecast accuracy criteria. However, in the context of managing exchange rate risk, interest centers on more than just point forecasts. This paper provides a formal evaluation of recent exchange rate models based on the term structure of forward exchange rates, which previous research has shown to be satisfactory in point forecasting, in terms of density forecasting performance. The economic value of the exchange rate density forecasts is investigated in the context of an application to a simple risk management exercise. (c) 2004 Elsevier Ltd. All rights reserved.

Item Type:	Conference Item (UNSPECIFIED)
Subjects:	H Social Sciences > HG Finance
Journal or Publication Title:	JOURNAL OF INTERNATIONAL MONEY AND FINANCE
Publisher:	ELSEVIER SCI LTD
ISSN:	0261-5606
Date:	March 2005
Volume:	24
Number:	2
Number of Pages:	23
Page Range:	pp. 363-385
Identification Number:	10.1016/j.jimonfin.2004.12.011
Publication Status:	Published
Title of Event:	8th International Conference on Macroeconomic Analysis and International Finance
Location of Event:	Univ Crete, Rethymno, GREECE
Date(s) of Event:	MAY 27-29, 2004
URI:	http://wrap.warwick.ac.uk/id/eprint/7303

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