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Empirical Exchange Rate Models of the Nineties :, Are Any Fit to Survive?, Yin-Wong Cheung, Antonio Garcia Pascual, Menzie Chinn

Abstract
We reassess exchange rate prediction using a wider set of models that have been proposed in the last decade. The performance of these models is compared against two reference specifications-purchasing power parity and the sticky-price monetary model. The models are estimated in first-difference and error-correction specifications, and model performance is evaluated at forecast horizons of 1, 4, and 20 quarters, using the mean squared error, direction of change metrics, and the "consistency" test of Cheung and Chinn (1998). Overall, model/specification/currency combinations that work well in one period do not necessarily work well in another period
Table Of Contents
""Contents""; ""I. INTRODUCTION""; ""II. THEORETICAL MODELS""; ""III. DATA, ESTIMATION, AND FORECASTING COMPARISON""; ""IV. COMPARING THE FORECAST PERFORMANCE""; ""V. CONCLUDING REMARKS""; ""ACKNOWLEDGMENTS""; ""DATA""; ""EVALUATING FORECAST ACCURACY""; ""References""
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (37 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781451990485

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