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Efficient exchange rate forecasts: Lagged models better than the random walk

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  • Somanath, V. S.
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    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 5 (1986)
    Issue (Month): 2 (June)
    Pages: 195-220

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    Handle: RePEc:eee:jimfin:v:5:y:1986:i:2:p:195-220

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    Web page: http://www.elsevier.com/locate/inca/30443

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    Cited by:
    1. Jae-Kwang Hwang, 2003. "Dynamic forecasting of sticky-price monetary exchange rate model," Atlantic Economic Journal, International Atlantic Economic Society, vol. 31(1), pages 103-114, March.
    2. Cerra, Valerie & Saxena, Sweta Chaman, 2010. "The monetary model strikes back: Evidence from the world," Journal of International Economics, Elsevier, vol. 81(2), pages 184-196, July.
    3. Kam-hon CHU & Bob Y. C. Chan & Chor-yiu Sin, 2000. "Contagion Effects, Informational Effects, and Economic Fundamentals: An Analysis of Exchange Rate Dynamics during the Asian Currency Crisis," Working Papers 022000, Hong Kong Institute for Monetary Research.
    4. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
    5. Ehsan Ahmed & J. Rosser & Richard Sheehan, 1989. "A comparison of national and international aggregate supply and demand var models: The United States, Japan and the European economic community," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 125(2), pages 252-272, June.
    6. Wang, Jian-Xin & Wong, Hoi-In, 1997. "The predictability of Asian exchange rates: evidence from Kalman filter and ARCH estimations," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 231-252, October.
    7. Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 197-220, August.
    8. Giulio Cifarelli, 1995. "Fundamentals, regime shifts, and dollar behavior in the 1980s," Open Economies Review, Springer, vol. 6(1), pages 29-48, January.
    9. Garry J. Schinasi & P.A.V.B. Swamy, 1987. "The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change," International Finance Discussion Papers 301, Board of Governors of the Federal Reserve System (U.S.).
    10. Mehran, Jamshid & Shahrokhi, Manuchehr, 1997. "An application of four foreign currency forecasting models to the U.S. dollar and Mexican peso," Global Finance Journal, Elsevier, vol. 8(2), pages 211-220.
    11. Szakmary, Andrew C. & Mathur, Ike, 1997. "Central bank intervention and trading rule profits in foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 513-535, August.
    12. Giancarlo Gandolfo & Pietro Carlo Padoan & Giovanna Paladino, 1990. "Structural Models vs Random Walk: The Case of the Lira/$ Exchange Rate," Eastern Economic Journal, Eastern Economic Association, vol. 16(2), pages 101-113, Apr-Jun.
    13. Chunming Yuan, 2008. "The Exchange Rate and Macroeconomic Determinants: Time-Varying Transitional Dynamics," UMBC Economics Department Working Papers 09-114, UMBC Department of Economics, revised 01 Nov 2009.

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