Efficient exchange rate forecasts: Lagged models better than the random walk
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
- 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;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 125(2), pages 252-272, June.
- 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.
- 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.
- 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.
- Valerie Cerra & Sweta Chaman Saxena, 2008. "The Monetary Model Strikes Back; Evidence from the World," IMF Working Papers 08/73, .
- repec:kap:iaecre:v:7:y:2001:i:1:p:51-64 is not listed on IDEAS
- Schinasi, Garry J. & Swamy, P. A. V. B., 1989. "The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change," Journal of International Money and Finance, Elsevier, vol. 8(3), pages 375-390, September.
- 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.).
- 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," Special Studies Papers 212, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- 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.
- 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.
- 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.
- Giulio Cifarelli, 1995. "Fundamentals, regime shifts, and dollar behavior in the 1980s," Open Economies Review, Springer, vol. 6(1), pages 29-48, January.
- 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.
- Jae-Kwang Hwang, 2001. "Dynamic forecasting of monetary exchange rate models: Evidence from cointegration," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 7(1), pages 51-64, February.
- Hsin-Min Lu & Chia-Shang J. Chu, 2006. "Random walk hypothesis in exchange rate reconsidered," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(4), pages 275-290.
- CIVCIR Irfan, "undated". "The Monetary Models of the Turkish Lira/Dollar Exchange Rate: Long-run Relationships, Short-run Dynamics and Forecasting," EcoMod2003 330700038, EcoMod.
- Wu, Jyh-Lin & Chen, Show-Lin, 2001. "Nominal exchange-rate prediction: evidence from a nonlinear approach," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 521-532, August.
- Roberts, Mark A., 1995. "Imperfect information: Some implications for modelling the exchange rate," Journal of International Economics, Elsevier, vol. 38(3-4), pages 375-383, May.
- 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.
- Jae-Kwang Hwang, 2003. "Dynamic forecasting of sticky-price monetary exchange rate model," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 31(1), pages 103-114, March.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:jimfin:v:5:y:1986:i:2:p:195-220. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.
Follow series, journals, authors & more
New papers by email
Subscribe to new additions to RePEc
Public profiles for Economics researchers
Various rankings of research in Economics & related fields
Who was a student of whom, using RePEc
Curated articles & papers on various economics topics
Upload your paper to be listed on RePEc and IDEAS
Blog aggregator for economics research
Cases of plagiarism in Economics
Job Market Papers
RePEc working paper series dedicated to the job market
Pretend you are at the helm of an economics department
Services from the StL Fed
Data, research, apps & more from the St. Louis Fed