| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6727 |
| DP6727 Are Capital Controls in the Foreign Exchange Market Effective? | |
| Christian Wolff; Stefan Straetmans; Roald Versteeg | |
| 发表日期 | 2008-02-29 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | This paper applies the Meese-Rogoff (1983a) methodology to the stock market. We compare the out-of-sample forecasting accuracy of various time-series and fundamentals-based models of aggregate stock prices. We stick as close as possible to the original Meese-Rogoff sample and methodology. Just as Meese and Rogoff found for the case of exchange rates, we find that a random walk model of stock prices performs as well as any estimated model at one to twelve month horizons, even though we base forecasts on actual future fundamentals of dividends and earnings. Using this metric and for this sample period, aggregate stock prices seem to be as difficult to model empirically as exchange rates. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Aggregate Dividend Earning Exchange Forecast Fundamental Growth Model Rate |
| URL | https://cepr.org/publications/dp6727 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535564 |
| 推荐引用方式 GB/T 7714 | Christian Wolff,Stefan Straetmans,Roald Versteeg. DP6727 Are Capital Controls in the Foreign Exchange Market Effective?. 2008. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
