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Real Exchange-Rate Prediction over Short Horizons

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Author Info
Wu, Jyh-Lin
Chen, Show-Lin
Abstract

The objective of this paper is to examine the predictability of real exchange rates during the period following Bretton Wood. The uniqueness of the model is that it allows for time-varying-coefficient and Markov-switching heteroskedasticity. Evidence is provided to show that the model, with appropriate specification, is superior to the random walk in terms of out-of-sample predictability even when forecast horizons are short. Copyright 2001 by Blackwell Publishing Ltd.

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Article provided by Blackwell Publishing in its journal Review of International Economics.

Volume (Year): 9 (2001)
Issue (Month): 3 (August)
Pages: 401-13
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Handle: RePEc:bla:reviec:v:9:y:2001:i:3:p:401-13

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  1. Zhongxia Jin, 2003. "The Dynamics of Real Interest Rates, Real Exchange Rates and the Balance of Payments in China: 1980-2002," IMF Working Papers 03/67, International Monetary Fund. [Downloadable!]
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This page was last updated on 2008-12-25.

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