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How well do monetary fundamentals forecast exchange rates? Author info | Abstract | Publisher info | Download info | Related research | Statistics Christopher J. Neely
Lucio Sarno
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For many years after the seminal work of Meese and Rogoff (1983a), conventional wisdom held that exchange rates could not be forecast from monetary fundamentals. Monetary models of exchange rate determination were generally unable to beat even a naïve no-change model in out-of-sample forecasting. More recently, the use of sophisticated econometric techniques, panel data, and long spans of data has convinced some researchers (Mark and Sul, 2001) that monetary models can forecast a small, but statistically significant part of the variation in exchange rates. Others remain skeptical, however (Rapach and Wohar, 2001b; Faust, Rogers, and Wright, 2001). It remains a puzzle why even the most supportive studies find such a small predictable component to exchange rates. This article reviews the literature on forecasting exchange rates with monetary fundamentals and speculates as to why it remains so difficult.
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Volume (Year): (2002)
Issue (Month): Sep ()
Pages: 51-74
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Keywords: Forecasting ; Foreign exchange rates ; Other versions of this item:
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"Markov Switching Regimes in a Monetary Exchange Rate Model ,"
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover
dp-266, Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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Michael Froemmel & Ronald Macdonald & Lukas Menkhoff, 2004.
"Markov Switching Regimes In A Monetary Exchange Rate Model ,"
Royal Economic Society Annual Conference 2004
119, Royal Economic Society.
[Downloadable!] Frommel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2005.
"Markov switching regimes in a monetary exchange rate model ,"
Economic Modelling ,
Elsevier, vol. 22(3), pages 485-502, May.
[Downloadable!] (restricted) Sarno, Lucio & Valente, Giorgio & Wohar, Mark E, 2003.
"Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes ,"
CEPR Discussion Papers
3983, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:
Sarno, Lucio & Wohar, Mark, 2003.
"Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes ,"
Computing in Economics and Finance 2003
310, Society for Computational Economics.
Lucio Sarno & Giorgio Valente & Mark E. Wohar, 2004.
"Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes ,"
Economic Inquiry ,
Oxford University Press, vol. 42(2), pages 179-193, April.
[Downloadable!] (restricted) Yu Hsing, 2005.
"Analysis of exchange rate fluctuations for Slovakia: application of an extended Mundell--Fleming model ,"
Applied Financial Economics Letters ,
Taylor and Francis Journals, vol. 1(5), pages 289-292, September.
[Downloadable!] (restricted)
Guy Meredith, 2003.
"Medium-Term Exchange Rate Forecasting: What Can We Expect? ,"
IMF Working Papers
03/21, International Monetary Fund.
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