Can We Beat the Random Walk Forecasts of Out-of-Sample Exchange Rates? A Structural Approach

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Can We Beat the Random Walk Forecasts of Out-of-Sample Exchange Rates? A Structural Approach

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Frédéric Karamé
Lise Patureau
Thepthida Sopraseuth

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2002 with number 233.

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Date of creation: 01 Jul 2002
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Handle: RePEc:sce:scecf2:233

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Find related papers by JEL classification:
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
F31 - International Economics - - International Finance - - - Foreign Exchange

This paper has been announced in the following NEP Reports:

NEP-ALL-2003-10-20 (All new papers)
NEP-ETS-2003-10-20 (Econometric Time Series)
NEP-IFN-2003-10-20 (International Finance)

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- Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
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repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
V.V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 1998. "Can sticky price models generate volatile and persistent real exchange rates?," Staff Report 223, Federal Reserve Bank of Minneapolis. [Downloadable!]
Other versions:
- V.V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2000. "Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates?," NBER Working Papers 7869, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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- Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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