The Exchange Rate Politics Puzzle
AbstractStandard exchange rate models perform poorly in out-of-sample forecasting when compared to the random walk model. We posit that part of the poor performance of these models may be due to their omission of political factors.
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Bibliographic InfoPaper provided by Wellesley College - Department of Economics in its series Papers with number 95-14.
Length: 28 pages
Date of creation: 1995
Date of revision:
EXCHANGE RATE ; PRICING ; POLITICAL ECONOMY;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- H8 - Public Economics - - Miscellaneous Issues
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- S. Brock Blomberg & Gregory D. Hess, 1996.
"Politics and exchange rate forecasts,"
Research Working Paper
96-02, Federal Reserve Bank of Kansas City.
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