کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10477145 | 930169 | 2005 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Exchange rates and fundamentals: evidence on the economic value of predictability
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
A major puzzle in international finance is the well-documented inability of models based on monetary fundamentals to produce better out-of-sample forecasts of the nominal exchange rate than a naive random walk. While this literature has generally employed statistical measures of forecast accuracy, we investigate whether there is any economic value to the predictive power of monetary fundamentals for the exchange rate. We find that, in the context of a simple asset allocation problem, the economic value of exchange rate forecasts from a fundamentals model can be greater than the economic value of random walk forecasts across a range of horizons.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Economics - Volume 66, Issue 2, July 2005, Pages 325-348
Journal: Journal of International Economics - Volume 66, Issue 2, July 2005, Pages 325-348
نویسندگان
Abhay Abhyankar, Lucio Sarno, Giorgio Valente,