UNSPECIFIED (2003) Why is it so difficult to beat the random walk forecast of exchange rates? In: Conference on Empirical Exchange Rate Models, MADISON, WISCONSIN, SEP 28-29, 2001. Published in: JOURNAL OF INTERNATIONAL ECONOMICS, 60 (1). pp. 85-107.

Full text not available from this repository.

Abstract

Recent empirical evidence suggests that the time series behavior of the real exchange rate is well approximated by a nonlinear, exponential smooth transition autoregressive (ESTAR) model. This nonlinearity helps resolve a number of puzzles concerning the persistence and volatility of real exchange rates. In this paper, we explore whether it may also help resolve the well-known difficulties of exchange rate forecasting. We develop a bootstrap test of the random walk hypothesis of the nominal exchange rate, given ESTAR real exchange rate dynamics. We find strong evidence of predictability at horizons of 2 to 3 years, but not at shorter horizons. (C) 2002 Elsevier Science B.V. All rights reserved.

Item Type:	Conference Item (UNSPECIFIED)
Subjects:	H Social Sciences > HC Economic History and Conditions
Journal or Publication Title:	JOURNAL OF INTERNATIONAL ECONOMICS
Publisher:	ELSEVIER SCIENCE BV
ISSN:	0022-1996
Official Date:	May 2003
Volume:	60
Number:	1
Number of Pages:	23
Page Range:	pp. 85-107
Identification Number:	10.1016/S0022-1996(02)00060-0
Publication Status:	Published
Title of Event:	Conference on Empirical Exchange Rate Models
Location of Event:	MADISON, WISCONSIN
Date(s) of Event:	SEP 28-29, 2001
URI:	http://wrap.warwick.ac.uk/id/eprint/9761

Data sourced from Thomson Reuters' Web of Knowledge

Request changes to a record

Actions (login required)

View Item