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The Exchange Rate Politics Puzzle

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Abstract

Standard 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.

Suggested Citation

  • Blomberg, S-B & Hess, G-D, 1995. "The Exchange Rate Politics Puzzle," Papers 95-14, Wellesley College - Department of Economics.
  • Handle: RePEc:fth:wecoec:95-14
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    Cited by:

    1. Blomberg, S. Brock & Hess, Gregory D., 1997. "Politics and exchange rate forecasts," Journal of International Economics, Elsevier, vol. 43(1-2), pages 189-205, August.

    More about this item

    Keywords

    EXCHANGE RATE ; PRICING ; POLITICAL ECONOMY;

    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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