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Real Exchange-Rate Prediction over Short Horizons

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  • Wu, Jyh-Lin
  • Chen, Show-Lin
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    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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    Bibliographic Info

    Article provided by Wiley Blackwell 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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    Cited by:
    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.
    2. Magnus Gustavsson & Pär Österholm, 2010. "The presence of unemployment hysteresis in the OECD: what can we learn from out-of-sample forecasts?," Empirical Economics, Springer, vol. 38(3), pages 779-792, June.

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