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Can a relative purchasing power parity‐based model outperform a random walk in forecasting short‐term exchange rates?

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  • Marc W. Simpson
  • Axel Grossmann

Abstract

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Suggested Citation

  • Marc W. Simpson & Axel Grossmann, 2011. "Can a relative purchasing power parity‐based model outperform a random walk in forecasting short‐term exchange rates?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(4), pages 375-392, October.
  • Handle: RePEc:wly:ijfiec:v:16:y:2011:i:4:p:375-392
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    Cited by:

    1. Grossmann, Axel & Simpson, Marc W., 2015. "Bid-ask spreads, deviations from PPP and the forward prediction error: The case of the British pound and the euro," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 124-139.
    2. Grossmann, Axel & Lee, Allissa A. & Simpson, Marc W., 2014. "Forward premium anomaly of the British pound and the euro," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 140-156.
    3. Simpson, Marc W. & Grossmann, Axel, 2014. "An examination of the forward prediction error of U.S. dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium asymmetry," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 221-238.
    4. Grossmann, Axel & Paul, Chris & Simpson, Marc W., 2017. "The impact of exchange rate deviations from relative PPP equilibrium on the U.S. demand for foreign equities," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 57-76.

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