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Evaluation of exchange rate forecasts for the krona’s nominal effective exchange rate

Author

Listed:
  • Degrér, Henrik

    (Monetary Policy Department, Central Bank of Sweden)

  • Hansen, Jan

    (Monetary Policy Department, Central Bank of Sweden)

  • Sellin, Peter

    (Monetary Policy Department, Central Bank of Sweden)

Abstract

In this paper we evaluate the out of sample forecasting performance of a large number of models belonging to a popular class of exchange rate models. Forecasts of the Swedish nominal effective exchange rate for the period 1980-2000 are performed using both single equation estimation and VAR approaches. The forecast horizons used were from 1 to 12 quarters. None of the models evaluated could convincingly outperform a random walk alternative.

Suggested Citation

  • Degrér, Henrik & Hansen, Jan & Sellin, Peter, 2001. "Evaluation of exchange rate forecasts for the krona’s nominal effective exchange rate," Working Paper Series 133, Sveriges Riksbank (Central Bank of Sweden).
    • Handle: RePEc:hhs:rbnkwp:0133
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    File URL: http://www.riksbank.se/upload/Dokument_riksbank/Kat_foa/wp_133.pdf
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    More about this item

    Keywords

    Exchange rates; monetary approach; forecasting;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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