| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23267 |
| 来源ID | Working Paper 23267 |
| Exchange Rate Prediction Redux: New Models, New Data, New Currencies | |
| Yin-Wong Cheung; Menzie D. Chinn; Antonio Garcia Pascual; Yi Zhang | |
| 发表日期 | 2017-03-27 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Previous assessments of nominal exchange rate determination, following Meese and Rogoff (1983) have focused upon a narrow set of models. Cheung et al. (2005) augmented the usual suspects with productivity based models, and "behavioral equilibrium exchange rate" models, and assessed performance at horizons of up to 5 years. In this paper, we further expand the set of models to include Taylor rule fundamentals, yield curve factors, and incorporate shadow rates and risk and liquidity factors. The performance of these models is compared against the random walk benchmark. The models are estimated in error correction and first-difference specifications. We examine model performance at various forecast horizons (1 quarter, 4 quarters, 20 quarters) using differing metrics (mean squared error, direction of change), as well as the “consistency” test of Cheung and Chinn (1998). No model consistently outperforms a random walk, by a mean squared error measure, although purchasing power parity does fairly well. Moreover, along a direction-of-change dimension, certain structural models do outperform a random walk with statistical significance. While one finds that these forecasts are cointegrated with the actual values of exchange rates, in most cases, the elasticity of the forecasts with respect to the actual values is different from unity. Overall, model/specification/currency combinations that work well in one period will not necessarily work well in another period |
| 主题 | International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w23267 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580941 |
| 推荐引用方式 GB/T 7714 | Yin-Wong Cheung,Menzie D. Chinn,Antonio Garcia Pascual,et al. Exchange Rate Prediction Redux: New Models, New Data, New Currencies. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23267.pdf（1336KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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